Andersson, Fredrik N. G. - Nationalekonomiska Institutionen, Ekonomihögskolan - 2008
. This paper proposes a new estimator for non-stationary panel data models, a bandspectrum cointegration estimator. The … bandspectrum cointegration estimator uses first differenced data to avoid spurious results. Such estimates are, however, less … bandspectrum cointegration estimator is more efficient than common time domain estimators, for example VECM and OLS levels …