A CROSS-SECTIONAL METHOD FOR RIGHT-TAILED PANIC TESTS UNDER A MODERATELY LOCAL TO UNITY FRAMEWORK
适度局部于单位根框架下右尾 PANIC 检验的横截面方法
The left-tailed unit-root tests of the panel analysis of nonstationarity in idiosyncratic and common components (PANIC) proposed by Bai and Ng (2004, Econometrica 72, 1127–1177) have standard local asymptotic power. We assess the size and power properties of the right-tailed version of the PANIC tests when the common and/or the idiosyncratic components are moderately explosive. We find that, when an idiosyncratic component is moderately explosive, the tests for the common…