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A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS

Published online by Cambridge University Press:  01 December 2009

Joakim Westerlund  and
Rolf Larsson
Joakim Westerlund*
Affiliation:
University of Gothenburg
Rolf Larsson
Affiliation:
Uppsala University
*
*Address correspondence to Joakim Westerlund, Department of Economics, University of Gothenburg, P.O. Box 640, SE-405 30 Gothenburg, Sweden; e-mail: [email protected].
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Abstract

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.

Type
ARTICLES
Information
Econometric Theory , Volume 25 , Issue 6: Newbold Conference Special Issue , December 2009 , pp. 1851 - 1868
Copyright
Copyright © Cambridge University Press 2009

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References

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