The power of PANIC
| Data(s) |
01/04/2015
|
|---|---|
| Resumo |
The current paper considers the asymptotic local power of second-generation panel unit root tests that are robust to the presence of cross-section dependence in the form of common factors. As a basis for our analysis, we take the PANIC approach of Bai and Ng (2004, 2010), which is one of the single most popular and general second-generation approaches around. |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Elsevier |
| Relação |
http://dro.deakin.edu.au/eserv/DU:30077705/westerlund-powerofpanic-2015.pdf http://www.dx.doi.org/10.1016/j.jeconom.2014.03.013 |
| Direitos |
2014, Elsevier |
| Palavras-Chave | #Common factors #Incidental trends #Local asymptotic power #Panel data #Unit root test #Social Sciences #Science & Technology #Physical Sciences #Economics #Mathematics, Interdisciplinary Applications #Social Sciences, Mathematical Methods #Business & Economics #Mathematics #Mathematical Methods In Social Sciences #UNIT-ROOT TESTS #PANEL-DATA #COINTEGRATION #TRENDS |
| Tipo |
Journal Article |
