Banerjee, AnindyaCarrión i Silvestre, Josep Lluís2018-04-042018-12-3120170143-9782https://hdl.handle.net/2445/121246Spurious 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.27 p.application/pdfeng(c) John Wiley & Sons, 2017Anàlisi de regressióAnàlisi de dades de panelEconometriaRegression analysisPanel analysisEconometricsinfo:eu-repo/semantics/article6667212018-04-04info:eu-repo/semantics/openAccess