Testing for panel cointegration using common correlated effects estimators

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Birmingham Business School Discussion Paper Series ; No. 2017-02

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
• Subject: panel cointegration ; cross-section dependence ; common factors ; spatial econometrics

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Banerjee, Anindya ; Carrion i Silvestre, Josep Lluís
• Event: Veröffentlichung
• (who): University of Birmingham, Birmingham Business School
• (where): Birmingham
• (when): 2017

Further information

• Handle: http://hdl.handle.net/10419/202675
• Last update: 10.03.2025, 11:44 AM CET