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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

PANIC in the Presence of Uncertainty about the Deterministic Trend

Author

  • Joakim Westerlund
  • Johan Blomquist

Summary, in English

Most macroeconomic and financial panel variables are trending. However, because of the well-known power problem in the presence of incidental trends, many researchers gamble that their unit root test regressions can be ran without such trends, thereby running the risk of obtaining spurious results. This article takes one of the most general and popular panel unit root tests, known as PANIC, and shows how it can be modified to account for the uncertainty regarding the deterministic trend.

Department/s

  • Department of Economics

Publishing year

2013

Language

English

Pages

123-135

Publication/Series

Oxford Bulletin of Economics and Statistics

Volume

75

Issue

1

Document type

Journal article

Publisher

Wiley-Blackwell

Topic

  • Economics

Status

Published

ISBN/ISSN/Other

  • ISSN: 1468-0084