PANIC in the Presence of Uncertainty about the Deterministic Trend
Author
Summary, in English
Most macroeconomic and financial panel variables are trending. However, because of the well-known power problem in the presence of incidental trends, many researchers gamble that their unit root test regressions can be ran without such trends, thereby running the risk of obtaining spurious results. This article takes one of the most general and popular panel unit root tests, known as PANIC, and shows how it can be modified to account for the uncertainty regarding the deterministic trend.
Department/s
Publishing year
2013
Language
English
Pages
123-135
Publication/Series
Oxford Bulletin of Economics and Statistics
Volume
75
Issue
1
Links
Document type
Journal article
Publisher
Wiley-Blackwell
Topic
- Economics
Status
Published
ISBN/ISSN/Other
- ISSN: 1468-0084