Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/121246
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DC Field | Value | Language |
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dc.contributor.author | Banerjee, Anindya | - |
dc.contributor.author | Carrión i Silvestre, Josep Lluís | - |
dc.date.accessioned | 2018-04-04T08:11:53Z | - |
dc.date.available | 2018-12-31T06:10:23Z | - |
dc.date.issued | 2017 | - |
dc.identifier.issn | 0143-9782 | - |
dc.identifier.uri | http://hdl.handle.net/2445/121246 | - |
dc.description.abstract | Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the common correlated effects approach in Pesaran (2006). This result is used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the proposal is investigated in comparison with factor-based methods to control for cross-section dependence when strong, semi-weak and weak cross-section dependence may be present. | - |
dc.format.extent | 27 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | John Wiley & Sons | - |
dc.relation.isformatof | Versió postprint del document publicat a: https://doi.org/10.1111/jtsa.12234 | - |
dc.relation.ispartof | Journal of Time Series Analysis, 2017, vol. 38, num. 4, p. 610-636 | - |
dc.relation.uri | https://doi.org/10.1111/jtsa.12234 | - |
dc.rights | (c) John Wiley & Sons, 2017 | - |
dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
dc.subject.classification | Anàlisi de regressió | - |
dc.subject.classification | Anàlisi de dades de panel | - |
dc.subject.classification | Econometria | - |
dc.subject.other | Regression analysis | - |
dc.subject.other | Panel analysis | - |
dc.subject.other | Econometrics | - |
dc.title | Testing for panel cointegration using common correlated effects estimators | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 666721 | - |
dc.date.updated | 2018-04-04T08:11:53Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
Files in This Item:
File | Description | Size | Format | |
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666721.pdf | 462.49 kB | Adobe PDF | View/Open |
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