Abstract

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.

Published in

Oxford Bulletin of Economics and Statistics
2013, Volume: 75, number: 1, pages: 123-135

SLU Authors

• Blomquist, Johan

  • Department of Economics, Swedish University of Agricultural Sciences
    

UKÄ Subject classification

Economics


Publication identifier

DOI: https://doi.org/10.1111/obes.12008

Permanent link to this page (URI)

https://res.slu.se/id/publ/86281