The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the … common factor framework is carried out in order to allow for dependence among the units of the panel. …

Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper … used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …