Testing for panel cointegration using common correlated effects estimators

DOI10.1111/JTSA.12234zbMATH Open1367.62325OpenAlexW585056081MaRDI QIDQ5283413FDOQ5283413

Josep Lluís Carrion-I-Silvestre, Anindya Banerjee

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

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zbMATH Keywords

spatial econometricscommon factorscross section dependencepanel cointegration

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (5)

• New Simple Tests for Panel Cointegration
• Common Correlated Effects Estimation of Dynamic Panels with Cross-Sectional 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 Rank Testing with Cross-Section Dependence

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