The power of PANIC

Joakim Westerlund

Journal of Econometrics, 2015, vol. 185, issue 2, 495-509

Abstract: 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 (2004, 2010), which is one of the single most popular and general second-generation approaches around.

Keywords: Unit root test; Panel data; Incidental trends; Common factors; Local asymptotic power (search for similar items in EconPapers)
JEL-codes: C12 C13 C33 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:185:y:2015:i:2:p:495-509

DOI: 10.1016/j.jeconom.2014.03.013

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