Panel cointegration with global stochastic trends

DOI10.1016/j.jeconom.2008.10.012zbMath1429.62381arXiv0805.1768OpenAlexW2134956854MaRDI QIDQ302100

Chihwa Kao, Serena Ng, Jushan Bai

Publication date: 4 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0805.1768

zbMATH Keywords

panel datafactor analysiscross-sectional dependencecommon shocksco-movementsfully-modified estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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