Browsing Department of Economics (ECO) by Subject "Panel cointegration"

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Browsing Department of Economics (ECO) by Subject "Panel cointegration"

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    Title: Cointegration in Panel Data with Breaks and Cross-Section Dependence  Author(s): BANERJEE, Anindya; CARRION-I-SILVESTRE, Josep Lluis Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one ...