Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey
نویسندگان
چکیده
منابع مشابه
Unit Roots and Cointegration in Panels∗
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T ), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might...
متن کاملCointegration Testing in Dependent Panels with Breaks
In this paper we propose panel cointegration tests allowing for breaks and cross-section dependence based on the Continuos-Path Block bootstrap. Simulation evidence shows that the proposed panel tests have satisfactory size and power properties, hence improving considerably on asymptotic tests applied to individual series. As an empirical illustration we examined investment and saving for a pan...
متن کاملPanels with Nonstationary Multifactor Error Structures
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently, work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference in the case of stationary panel regressions with a multifactor error structure. This paper extends this work and examines the important case where the unob...
متن کاملCointegration versus Spurious Regression and Heterogeneity in Large Panels
This paper provides an estimation and testing framework to identify the source(s) of spuriousness in a large nonstationary panel. This can be determined by two non mutually exclusive causes: pooling units neglecting the presence of heterogeneity and genuine presence of I (1) errors in some of the units. The paper proposes two tests that complement a test for the null of cointegration: one test ...
متن کاملSimple Tests for Cointegration in Dependent Panels with Structural Breaks∗
This paper develops two very simple tests for the null hypothesis of no cointegration in panel data. The tests are general enough to allow for heteroskedastic and serially correlated errors, unit specific time trends, cross-sectional dependence and an unknown structural break in both the intercept and slope of the cointegrated regression, which may be located at different dates for different un...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.1808022