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Testing for panel cointegration using common correlated effects estimators

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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.

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Journal of Time Series Analysis, 2017, vol. 38, num. 4, p. 610-636

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

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Testing for panel cointegration using common correlated effects estimators