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...
| Autores: | , |
|---|---|
| Formato: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2017 |
| País: | España |
| Recursos: | 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:2445/121246 |
| Acesso em linha: | https://hdl.handle.net/2445/121246 |
| Access Level: | acceso abierto |
| Palavra-chave: | Anàlisi de regressió Anàlisi de dades de panel Econometria Regression analysis Panel analysis Econometrics |
| Resumo: | 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. |
|---|