Title:
|
Testing for panel cointegration using common correlated effects estimators
|
Author:
|
Banerjee, Anindya; Carrión i Silvestre, Josep Lluís
|
Other authors:
|
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. |
Subject(s):
|
-Anàlisi de regressió -Anàlisi de dades de panel -Econometria -Regression analysis -Panel analysis -Econometrics |
Rights:
|
(c) John Wiley & Sons, 2017
|
Document type:
|
Article Article - Accepted version |
Published by:
|
John Wiley & Sons
|
Share:
|
|