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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/217806
Panel Data Cointegration Testing with Structural Instabilities
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Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. The set-up includes (possibly unknown) multiple structural breaks that can affect both the deterministic and the common factor components. We show that consistent estimation of the long-run average parameter is possible once cross-section dependence is controlled using cross-section averages in the spirit of Pesaran's common correlated effects approach. This result is used to design individual and panel cointegration test statistics that accommodate the presence of structural breaks that can induce parameter instabilities in the deterministic component, the cointegration vector and the common factor loadings.
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BANERJEE, Anindya and CARRIÓN I SILVESTRE, Josep Lluís. Panel Data Cointegration Testing with Structural Instabilities. Journal of Business & Economic Statistics. 2025. Vol. 43, num. 1, pags. 122-133. ISSN 0735-0015. [consulted: 12 of June of 2026]. Available at: https://hdl.handle.net/2445/217806