Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors-Reference-Cited by-同舟云学术

Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors

Published:2013-06-01 Issue:2 Volume:16 Page:222-249
ISSN:1368-4221
Container-title:The Econometrics Journal
language:en
Short-container-title:

Author:

Bai Jushan¹²,Carrion‐i‐Silvestre Josep Lluís³

Affiliation:

1. Economics Department, Columbia University, 420 West 118th Street, New York, USA. E‐mail: jb3064@columbia.edu

2. CEMA, Central University of Finance and Economics, Beijing, China.

3. AQR‐IREA Research Group, Department of Econometrics, Statistics and Spanish Economy, University of Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain. E‐mail: carrion@ub.edu

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics

Link

http://academic.oup.com/ectj/article-pdf/16/2/222/27673458/ectj0222.pdf

Reference44 articles.

1. Estimating cross‐section common stochastic trends in nonstationary panel data;Bai;Journal of Econometrics,2004

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

3. Structural changes, common stochastic trends, and unit roots in panel data;Bai;Review of Economic Studies,2009

4. On the estimation and inference of a panel cointegration model with cross‐sectional dependence;Bai,2006

5. Panel cointegration with global stochastic trends;Bai;Journal of Econometrics,2009

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