A NOTE ON THE POOLING OF INDIVIDUAL PANIC UNIT ROOT TESTS

被引：18

作者：

Westerlund, Joakim ^{[1
]}

Larsson, Rolf ^{[2
]}

机构：

[1] Univ Gothenburg, Dept Econ, SE-40530 Gothenburg, Sweden

[2] Uppsala Univ, Uppsala, Sweden

来源：

ECONOMETRIC THEORY | 2009年 / 25卷 / 06期

关键词：

COINTEGRATION; PANELS;

D O I：

10.1017/S0266466609990351

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 off averaging is lot fully proven. This paper provides the required results, whose usefulness is verified through simulations.

引用

页码：1851 / 1868

页数：18

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