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...

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Detalles Bibliográficos
Autores: Banerjee, Anindya, Carrión i Silvestre, Josep Lluís
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
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spelling Panel Data Cointegration Testing with Structural InstabilitiesBanerjee, AnindyaCarrión i Silvestre, Josep LluísAnàlisi de regressióAnàlisi de sèries temporalsAnàlisi de dades de panelRegression analysisTime-series analysisPanel analysisSpurious 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.Taylor & Francis2025202520252025info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersion11 p.application/pdfhttps://hdl.handle.net/2445/217806Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Recercat. Dipósit de la Recerca de Catalunyainstname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)InglésReproducció del document publicat a: https://www.tandfonline.com/doi/full/10.1080/07350015.2024.2327844Journal of Business & Economic Statistics, 2025, vol. 43, núm.1, p. 122-133https://doi.org/10.1080/07350015.2024.2327844(c) Taylor & Francis, 2025http://creativecommons.org/licenses/by-nc-nd/3.0/es/info:eu-repo/semantics/openAccessoai:recercat.cat:2445/2178062026-05-29T05:05:01Z
dc.title.none.fl_str_mv Panel Data Cointegration Testing with Structural Instabilities
title Panel Data Cointegration Testing with Structural Instabilities
spellingShingle Panel Data Cointegration Testing with Structural Instabilities
Banerjee, Anindya
Anàlisi de regressió
Anàlisi de sèries temporals
Anàlisi de dades de panel
Regression analysis
Time-series analysis
Panel analysis
title_short Panel Data Cointegration Testing with Structural Instabilities
title_full Panel Data Cointegration Testing with Structural Instabilities
title_fullStr Panel Data Cointegration Testing with Structural Instabilities
title_full_unstemmed Panel Data Cointegration Testing with Structural Instabilities
title_sort Panel Data Cointegration Testing with Structural Instabilities
dc.creator.none.fl_str_mv Banerjee, Anindya
Carrión i Silvestre, Josep Lluís
author Banerjee, Anindya
author_facet Banerjee, Anindya
Carrión i Silvestre, Josep Lluís
author_role author
author2 Carrión i Silvestre, Josep Lluís
author2_role author
dc.subject.none.fl_str_mv Anàlisi de regressió
Anàlisi de sèries temporals
Anàlisi de dades de panel
Regression analysis
Time-series analysis
Panel analysis
topic Anàlisi de regressió
Anàlisi de sèries temporals
Anàlisi de dades de panel
Regression analysis
Time-series analysis
Panel analysis
description 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.
publishDate 2025
dc.date.none.fl_str_mv 2025
2025
2025
2025
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/217806
url https://hdl.handle.net/2445/217806
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Reproducció del document publicat a: https://www.tandfonline.com/doi/full/10.1080/07350015.2024.2327844
Journal of Business & Economic Statistics, 2025, vol. 43, núm.1, p. 122-133
https://doi.org/10.1080/07350015.2024.2327844
dc.rights.none.fl_str_mv (c) Taylor & Francis, 2025
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) Taylor & Francis, 2025
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 11 p.
application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Recercat. Dipósit de la Recerca de Catalunya
instname:Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
instname_str Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya)
reponame_str Recercat. Dipósit de la Recerca de Catalunya
collection Recercat. Dipósit de la Recerca de Catalunya
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.812429

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