Panicca: Panic on Cross‐Section Averages
结合横截面平均增强法和PANIC方法，提出PANICCA方法，用于处理横截面相关面板数据的单位根检验，兼具两者优势。
Summary The cross‐section average (CA) augmentation approach of Pesaran (A simple panel unit root test in presence of cross‐section dependence. Journal of Applied Econometrics 2007; 22 : 265–312) and Pesaran et al. (Panel unit root test in the presence of a multifactor error structure. Journal of Econometrics 2013; 175 : 94–115), and the principal components‐based panel analysis of non‐stationarity in idiosyncratic and common components (PANIC) of Bai and Ng (A PANIC attack on unit roots and cointegration. Econometrica 2004; 72 : 1127–1177; Panel unit root tests with cross‐section dependence: a further investigation. Econometric Theory 2010; 26 : 1088–1114) are among the most popular ‘second‐generation’ approaches for cross‐section correlated panels. One feature of these approaches is that they have different strengths and weaknesses. The purpose of the current paper is to develop PANICCA, a combined approach that exploits the strengths of both CA and PANIC. Copyright © 2015 John Wiley & Sons, Ltd.