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Article

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Accepted version

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2017

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/121246

Testing for panel cointegration using common correlated effects estimators

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https://doi.org/10.1111/jtsa.12234

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.

Subject

Anàlisi de regressió, Anàlisi de dades de panel, Econometria

Subject (English)

Regression analysis, Panel analysis, Econometrics

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Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citation

BANERJEE, Anindya and CARRIÓN I SILVESTRE, Josep Lluís. Testing for panel cointegration using common correlated effects estimators. Journal of Time Series Analysis. 2017. Vol. 38, num. 4, pags. 610-636. ISSN 0143-9782. [consulted: 9 of August of 2026]. Available at: https://hdl.handle.net/2445/121246

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