Westerlund, Joakim; Larsson, Rolf - In: Econometric Theory 25 (2009) 06, pp. 1851-1868
One of the most cited studies in recent years within the field of nonstationary panel data analysis is that of Bai and Ng (2004), in which the authors propose PANIC, a new framework for analyzing the nonstationarity of panels with idiosyncratic and common components. The problem is that the...