A note on the pooling of individual panic unit root tests
Data(s) |
01/01/2009
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Resumo |
One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. The problem is that the asymptotic validity of PANIC as a platform for constructing pooled panel unit root tests based on averaging is not fully proven. This paper provides the required results, whose usefulness is verified through simulations. © 2009 Cambridge University Press. |
Identificador | |
Idioma(s) |
eng |
Publicador |
Cambridge University Press (CUP) |
Relação |
http://dro.deakin.edu.au/eserv/DU:30078224/westerlund-anoteonthepooling-2009.pdf http://www.dx.doi.org/10.1017/S0266466609990351 |
Direitos |
2009, Cambridge University Press (CUP) |
Palavras-Chave | #C21 #C22 #C23 #Panel Unit Root Test #Pooling #Common Factor #Cross-Sectional Dependence |
Tipo |
Journal Article |