Hypothesis testPanel unit-root tests (2nd gen)
PANIC检验：基于共同因子分解的面板单位根分析
PANIC（面板单位根非平稳性分析，包含共同成分与特有成分）是由Bai和Ng (2004) 提出的第二代面板单位根检验。它将每个面板序列分解为共同因子和特有成分，然后分别检验每个部分的单位根，从而能够稳健地处理横截面依赖性——这是IPS或LLC等第一代检验的一个关键局限。
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来源
- Bai, J., & Ng, S. (2004). A PANIC attack on unit roots and cointegration. Econometrica, 72(4), 1127–1177. DOI: 10.1111/j.1468-0262.2004.00528.x ↗
如何引用本页
ScholarGate. (2026, June 2). PANIC: Panel Analysis of Non-stationarity in Idiosyncratic and Common Components. ScholarGate. https://scholargate.app/zh/econometrics/panic-test
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