Publications

Banerjee, A.; Carrion-i-Silvestre, J.L.
  • Year: 2017
    Testing for panel cointegration using common correlated effects estimator. Journal of Time Series Analysis, 38 (4), 610-636
    DOI: 10.1111/jtsa.12234
    Abstract:

    Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the common correlated effects approach in Pesaran (2006). This result is used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the proposal is investigated in comparison with factor-based methods to control for cross-section dependence when strong, semi-weak and weak cross-section dependence may be present.
    http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12234/abstract