Testing for panel cointegration using common correlated effects estimators
Research output: Contribution to journal › Article › peer-review
Authors
Colleges, School and Institutes
External organisations
- University of Barcelona
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.
Details
| Original language | English |
|---|---|
| Pages (from-to) | 610-636 |
| Number of pages | 27 |
| Journal | Journal of Time Series Analysis |
| Volume | 38 |
| Issue number | 4 |
| Early online date | 8 Mar 2017 |
| Publication status | Published - Jul 2017 |
Keywords
- C12, C22, panel cointegration , cross-section dependence , common factors , spatial econometrics