A PANIC Attack on Unit Roots and Cointegration

By Jushan Bai, Serena Ng. 2004

1,897 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/073aacf0fd82869baae93063f53735883673c2bf

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In Economics and Econometrics

Citations in the corpus

An Intersection Test for Panel Unit Roots (2013, background): “4If Ft ∼ I (1), the tests can be seen as panel non-cointegration tests, as j yi ,t − i yj ,t ∼ I (0) if ei ,t ∼ I (0) (Bai and Ng, 2004).”
Panel Unit Root Tests under Cross-sectional Dependence: An Overview (2009, methodology): “( ) i ADF E τ ˆ on the common factors makes possible for Bai and Ng [3] to propose a pooled Fisher-type test24 as suggested in Maddala and Wu [42] or Choi [14].”
Network Effects of Public Transport Infrastructure: Evidence on Italian Regions (2012, positive): “…transport infrastructure stock into common and idiosyncratic components, by implementing the common factor methodology recently put forward by Bai and Ng (2004), within their PANIC (Panel Analysis of Nonstationarity in Idiosyncratic and Common components) approach to unit roots and…”
Panel Unit Root Tests in the Presence of Cross-Sectional Dependence: Finite Sample Performance and an Application (2009, positive): “Overall, the Fisher test proposed by Bai and Ng (2004) has good size and power over a wide variety”
Productivity Analysis in Global Manufacturing Production (2010, methodology): “A theoretical explanation is provided in Bai and Ng (2008), who show that second stage standard errors need not be adjusted for first stage estimation uncertainty if √ T/N → 0, as is arguably the case in our empirics.”
Regional differences in the dynamic linkage between CO2 emissions, sectoral output and economic growth (2014, neutral): “[41]) based on the assumption of the cross-sectional independence across units; the second-generation unit root tests methodologies (Bai and Ng [42], Moon and Perron [43], Choi [44] and Pesaran [45]) with the assumption of cross-sectional dependence across units, and finally, panel unit root test me”
Unobserved heterogeneity in panel time series models (2006, neutral): “We take three standard applications to assess the extent of the two problems, cross-section dependence and I(1) errors, and to help in designing our Monte Carlo experiments.”
The Local Power of the CADF and CIPS Panel Unit Root Tests (2016, methodology): “Specifically, the CADF i and CIPS tests are compared with the ADFê(i) and Pê tests of Bai and Ng (2004), which are”
Estimation of fractionally integrated panels with fixed effects and cross-section dependence (2015, positive): “The general intuition is that to con-trol strong persistence, enough differencing is needed in absence of knowledge on the true value of δ i 0 , e.g. setting δ ∗ = 1 and working with first differences as done by Bai and Ng (2004).”
Determining the Number of Factors from Empirical Distribution of Eigenvalues (2010, background): “distribution function for A as FA(x) = 1 1 n #fi � n : �i(A) > xg; ( 3 )”