Panel Data Cointegration Testing with Structural Instabilities
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 l...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2025 |
| País: | España |
| Institución: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/217806 |
| Acceso en línea: | https://hdl.handle.net/2445/217806 |
| Access Level: | acceso abierto |
| Palabra clave: | Anàlisi de regressió Anàlisi de sèries temporals Anàlisi de dades de panel Regression analysis Time-series analysis Panel analysis |
| Sumario: | 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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