Bai, Jushan; Ng, Serena - Department of Economics, Boston College - 2001
Idiosyncratic and Common components'. PANIC consists of univariate and panel tests with a number of novel features. It can detect … whether the nonstationarity is pervasive, or variable-specific, or both. It tests the components of the data instead of the … observed series. Inference is therefore more accurate when the components have different orders of integration. PANIC also …