Demeaning the data in panel-cointegration models to control for cross-sectional dependencies

DOI10.1016/J.ECONLET.2010.11.026MaRDI QIDQ531415zbMATH OpenOpenAlexFDO

Authors Martin Solberger

Publication date 29 April 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2010.11.026

zbMATH Keywords

cross-sectional dependencedemeaningpanel-cointegration

Mathematics Subject Classification ID

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

Recommendations

• Testing for panel cointegration using common correlated effects estimators
• Panel Cointegration Rank Testing with Cross-Section Dependence
• Novel panel cointegration tests emending for cross-section dependence with N fixed
• Panel unit root tests with cross-section dependence: a further investigation
• Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

Cites work

• Asymptotic Properties of Residual Based Tests for Cointegration
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Spurious regression and residual-based tests for cointegration in panel data
• Useful matrix transformations for panel data analysis: a survey

This page was built for publication: Demeaning the data in panel-cointegration models to control for cross-sectional dependencies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q531415)