Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259939 
Year of Publication: 
2007
Series/Report no.: 
Working Paper No. 2007:5
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
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, A PANIC Attack on Unit Roots and Cointegration. Econometrica 72, 1127-1177), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. This paper shows that, although valid at the level of the individual unit, PANIC is not an asymptotically valid framework for pooling tests at the aggregate panel level.
Subjects: 
Panel Unit Root Test
Pooling
Common Factor
Cross-Sectional Dependence
JEL: 
C21
C22
C23
Document Type: 
Working Paper

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