Testing for panel cointegration using common correlated effects estimators

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...

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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:2017
País:España
Institución:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu:2445/121246
Acceso en línea:https://hdl.handle.net/2445/121246
Access Level:acceso abierto
Palabra clave:Anàlisi de regressió
Anàlisi de dades de panel
Econometria
Regression analysis
Panel analysis
Econometrics
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spelling Testing for panel cointegration using common correlated effects estimatorsBanerjee, AnindyaCarrión i Silvestre, Josep LluísAnàlisi de regressióAnàlisi de dades de panelEconometriaRegression analysisPanel analysisEconometricsSpurious 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.John Wiley & Sons2017info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2445/121246Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésVersió postprint del document publicat a: https://doi.org/10.1111/jtsa.12234Journal of Time Series Analysis, 2017, vol. 38, num. 4, p. 610-636https://doi.org/10.1111/jtsa.12234(c) John Wiley & Sons, 2017info:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/1212462026-05-27T06:46:51Z
dc.title.none.fl_str_mv Testing for panel cointegration using common correlated effects estimators
title Testing for panel cointegration using common correlated effects estimators
spellingShingle Testing for panel cointegration using common correlated effects estimators
Banerjee, Anindya
Anàlisi de regressió
Anàlisi de dades de panel
Econometria
Regression analysis
Panel analysis
Econometrics
title_short Testing for panel cointegration using common correlated effects estimators
title_full Testing for panel cointegration using common correlated effects estimators
title_fullStr Testing for panel cointegration using common correlated effects estimators
title_full_unstemmed Testing for panel cointegration using common correlated effects estimators
title_sort Testing for panel cointegration using common correlated effects estimators
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 dades de panel
Econometria
Regression analysis
Panel analysis
Econometrics
topic Anàlisi de regressió
Anàlisi de dades de panel
Econometria
Regression analysis
Panel analysis
Econometrics
description 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.
publishDate 2017
dc.date.none.fl_str_mv 2017
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/2445/121246
url https://hdl.handle.net/2445/121246
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Versió postprint del document publicat a: https://doi.org/10.1111/jtsa.12234
Journal of Time Series Analysis, 2017, vol. 38, num. 4, p. 610-636
https://doi.org/10.1111/jtsa.12234
dc.rights.none.fl_str_mv (c) John Wiley & Sons, 2017
info:eu-repo/semantics/openAccess
rights_invalid_str_mv (c) John Wiley & Sons, 2017
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv John Wiley & Sons
publisher.none.fl_str_mv John Wiley & Sons
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.301603

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