Alternative representations for cointegrated panels with global stochastic trends

DOI10.1016/J.ECONLET.2012.12.028MaRDI QIDQ2444337zbMATH OpenOpenAlexFDO

Authors Christian Gengenbach, Jean-Pierre Urbain, Joakim Westerlund

Publication date 9 April 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.12.028

zbMATH Keywords

common factorserror correctionpanel cointegrationrepresentation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(3)

• Panel cointegration with global stochastic trends
• COINTEGRATION AND COMMON FACTORS
• Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

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