Panicca: panic on cross-section averages
Data(s) |
01/01/2016
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Resumo |
The cross-section average (CA) augmentation approach of Pesaran (2007) and Pesaran et al. (2013), and the principal components-based panel analysis of non-stationarity in idiosyncratic and common components (PANIC) of Bai and Ng (2004, 2010) are among the most popular “second-generation” approaches for cross-section correlated panels. One feature of these approaches is that they have different strengths and weaknesses. The purpose of the current paper is to develop PANICCA, a combined approach that exploits the strengths of both CA and PANIC. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Wiley |
Relação |
http://dro.deakin.edu.au/eserv/DU:30078210/westerlund-paniccapanic-2016.pdf http://dro.deakin.edu.au/eserv/DU:30078210/westerlund-paniccapanic-inpress-2015.pdf http://doi.org/10.1002/jae.2487 |
Direitos |
2015, Wiley |
Palavras-Chave | #C12 #C13 #C33 #C36 #PANIC #cross-section average augmentation #unit root test #cross-section dependence #common factors |
Tipo |
Journal Article |