Testing for panel cointegration using common correlated effects estimators

DOI10.1111/JTSA.12234MaRDI QIDQ5283413zbMATHOpenAlexFDO

Authors Anindya Banerjee, Josep Lluís Carrion-I-Silvestre

Publication date 21 July 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2445/121246

zbMATH Keywords

spatial econometricscommon factorscross section dependencepanel cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

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Cites work

• A PANIC attack on unit roots and cointegration.
• A spatio-temporal model of house prices in the USA
• Cross-sectional averages versus principal components
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
• Linear Regression Limit Theory for Nonstationary Panel Data
• Panel cointegration with global stochastic trends
• Panel unit root tests in the presence of a multifactor error structure
• Panels with non-stationary multifactor error structures
• Spurious regression and residual-based tests for cointegration in panel data
• Spurious regressions in econometrics
• Testing for panel cointegration using common correlated effects estimators
• Understanding spurious regressions in econometrics
• Weak and strong cross-section dependence and estimation of large panels

Cited in

(10)

• Large panels with common factors and spatial correlation
• Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional Dependence
• Weak and strong cross-section dependence and estimation of large panels
• Panel Cointegration Rank Testing with Cross-Section Dependence
• Testing for panel cointegration using common correlated effects estimators
• Testing for spurious regression in a panel data model with the individual number and time length growing
• Panel cointegration with global stochastic trends
• Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
• Demeaning the data in panel-cointegration models to control for cross-sectional dependencies
• New Simple Tests for Panel Cointegration

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