What’s more, people who suffer from panic attacks often find themselves placing restrictions on their lives. For example someone who experiences panic attacks may become to a greater or lesser extent agoraphobic. Agoraphobia being basically a fear of panic attacks. If you start to fear things that you used to do easily you may well become depressed and frustrated.
So depression and panic attacks might coexist because of the same cause, or because one leads to the other.
Certainly, the treatment you choose for one would most likely effect the other. For example SSRI anti-depressants like Celexa/Citalopram are often used to treat panic disorder, although the dose may need to be altered to be effective for panic.
Likewise, a course of CBT (Cognitive Behavioral Therapy) will teach you how to think more rationally and not be afraid of the symptoms of panic attacks. The same techniques can happily be applied to depression and the negative thought trains which surround it.
So basically establishing the link between panic attacks and depression is not really necessary for effective treatment.