Para acceder a los documentos con el texto completo, por favor, siga el siguiente enlace: http://hdl.handle.net/2445/121246
Título:
|
Testing for panel cointegration using common correlated effects estimators
|
Autor/a:
|
Banerjee, Anindya; Carrión i Silvestre, Josep Lluís
|
Otros autores:
|
Universitat de Barcelona |
Abstract:
|
Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the common correlated effects approach in Pesaran (2006). This result is used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the proposal is investigated in comparison with factor-based methods to control for cross-section dependence when strong, semi-weak and weak cross-section dependence may be present. |
Materia(s):
|
-Anàlisi de regressió -Anàlisi de dades de panel -Econometria -Regression analysis -Panel analysis -Econometrics |
Derechos:
|
(c) John Wiley & Sons, 2017
|
Tipo de documento:
|
Artículo Artículo - Versión aceptada |
Editor:
|
John Wiley & Sons
|
Compartir:
|
|
Mostrar el registro completo del ítem