Testing for Panel Cointegration Using Common Correlated Effects Estimators
Author:
Affiliation:
1. Department of Economics; University of Birmingham; Birmingham UK
2. AQR-IREA Research Group, Department of Econometrics, Statistics and Spanish Economy; University of Barcelona; Barcelona Spain
Funder
Ministerio de Ciencia y Tecnología
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12234/fullpdf
Reference25 articles.
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3. Panel unit root tests and spatial dependence;Baltagi;Journal of Applied Econometrics,2007
4. Cointegration in panel data with breaks and cross-section dependence;Banerjee;Journal of Applied Econometrics,2015
5. Banerjee A Carrion-i-Silvestre JL 2011 ‘Testing for Panel Cointegration using Common Correlated Effects Estimators
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