השוואת שיטות

	PANIC Test: Panel Unit Root Analysis with Common Factor Decomposition	מודל גורמים דינמי
תחום	אקונומטריקה	אקונומטריקה
משפחה	Hypothesis test	Regression model
שנת המקור	2004	2002
הוגה השיטה	Jushan Bai & Serena Ng	James Stock & Mark Watson
סוג	Panel unit root test	Latent-factor time-series model
מקור מכונן	Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127–1177.	Stock, J. H., & Watson, M. W. (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics, 20(2), 147–162.
כינויים	Panel Analysis of Non-stationarity in Idiosyncratic and Common Components, Bai-Ng PANIC Test, Second-Generation Panel Unit Root Test, Panel Birim Kök Testi (PANIC)	Diffusion Index Model, Large-Scale Factor Model, Approximate Factor Model, Dinamik Faktör Modeli
קשורות	3	2
תקציר	PANIC (Panel Analysis of Non-stationarity in Idiosyncratic and Common Components) is a second-generation panel unit root test introduced by Bai and Ng (2004). It decomposes each panel series into common factors and idiosyncratic components, then tests for unit roots in each part separately, making it robust to cross-sectional dependence — a critical limitation of first-generation tests such as IPS or LLC.	A Dynamic Factor Model (DFM) extracts a small number of latent common factors from a large panel of economic time series and uses those factors to forecast or nowcast a target variable. Formalized for macroeconomic forecasting by James Stock and Mark Watson in their 2002 Journal of Business & Economic Statistics paper, DFMs handle hundreds of indicators simultaneously while avoiding the curse of dimensionality that plagues traditional multivariate models.