A Note on the Pooling of Individual PANIC Unit Root Tests

No 2007:5, Working Papers from Lund University, Department of Economics

Abstract: One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004, A PANIC Attack on Unit Roots and Cointegration. Econometrica 72, 1127-1177), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. This paper shows that, although valid at the level of the individual unit, PANIC is not an asymptotically valid framework for pooling tests at the aggregate panel level.

Keywords: Panel Unit Root Test; Pooling; Common Factor; Cross-Sectional Dependence (search for similar items in EconPapers)
JEL-codes: C21 C22 C23 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2007-02-19
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Journal Article: A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS (2009)
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