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Cointegration in Panel Data with Breaks and Cross-Section Dependence · Study

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PreprintCointegration in Panel Data with Breaks and Cross-Section Dependence

Anindya Banerjee2006

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Preprintgreen2006

Cointegration in Panel Data with Breaks and Cross-Section Dependence

Anindya Banerjee · Josep Lluís Carrion‐i‐Silvestre

125 citations·0/0 files stored·SSRN Electronic Journal

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Spatial and Panel Data Analysis Monetary Policy and Economic Impact Economic Growth and Productivity

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Testing for a Unit Root in Time Series Regression 2021Econometric Analysis of Panel Data 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis 1999Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors 2004PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS 2006Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations125

Files0 public / 0

ShelfSpatial and Panel Data Analysis

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doi10.2139/ssrn.885322

openalex_workW2105427294

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2007Testing for Breaks in Cointegrated Panels − with an Application to the Feldstein-Horioka Puzzle

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2011The long run relationship between private consumption and wealth: common and idiosyncratic effects