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Joakim Westerlund. Photo.

Joakim Westerlund

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

Joakim Westerlund. Photo.

The Power of PANIC

Author

  • Joakim Westerlund

Summary, in English

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 (A PANIC Attack on Unit Roots and Cointegration, Econometrica 72, 1127–1177,

2004; Panel Unit Root Tests with Cross-Section Dependence: A Further Investigation.

Econometric Theory 26, 1088–1114, 2010), which is one of the single most popular and

general second-generation approaches around.

Department/s

  • Department of Economics

Publishing year

2015

Language

English

Pages

495-509

Publication/Series

Journal of Econometrics

Volume

185

Issue

2

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • Unit root test
  • Panel data
  • Incidental trends
  • Common factors
  • Local asymptotic power.

Status

Published

ISBN/ISSN/Other

  • ISSN: 0304-4076