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Estimation of fractionally integrated panels with fixed effects and cross-section dependence

  • Published:2017-02 Issue:2 Volume:196 Page:248-258
  • ISSN:0304-4076
  • Container-title:Journal of Econometrics
  • language:en
  • Short-container-title:Journal of Econometrics

Author:

Ergemen Yunus Emre,Velasco Carlos

Funder

Ministerio de Economía y Competitividad

CREATES - Center for Research in Econometric Analysis of Time Series

Danish National Research Foundation

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference22 articles.

1. Panel data models with interactive fixed effects;Bai;Econometrica,2009

2. Panel unit root tests with cross-section dependence: A further investigation;Bai;Econometric Theory,2010

3. A PANIC attack on unit roots and cointegration;Bai;Econometrica,2004

4. Long memory processes and fractional integration in econometrics;Baillie;J. Econometrics,1996

5. Risk and return: Long-run relationships, fractional cointegration, and return predictability;Bollerslev;J. Financ. Econ.,2013

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