方法证据记录
PANIC
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.
源记录
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PANIC: Panel Analysis of Non-stationarity in Idiosyncratic and Common Components
分类方法记录 · hypothesis-test / econometrics
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