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Testing for panel cointegration using common correlated effects estimators
Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017
used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …
Persistent link: https://www.econbiz.de/10012010208
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Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data
Banerjee, Anindya; Marcellino, Massimiliano Giuseppe; … - 2014
panel cointegration tests in the presence of cross-unit relations are then presented to demonstrate the serious cost of …
Persistent link: https://www.econbiz.de/10014135208
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Cointegration in Panel Data with Breaks and Cross-Section Dependence
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - 2021
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …
Persistent link: https://www.econbiz.de/10013317662
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Cointegration in Panel Data with Breaks and Cross-section Dependence
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluis - Department of Economics, University of Birmingham - 2011
Panel cointegration, structural break, common factors, cross-section dependence …
Persistent link: https://www.econbiz.de/10009391866
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Testing for Panel Cointegration Using Common Correlated Effects
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluis - Department of Economics, University of Birmingham - 2011
Yamagata (2010) and Kapetanios, Pesaran and Yamagata (2011). This result is used to design a panel cointegration test statistic …
Persistent link: https://www.econbiz.de/10009323816
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Panel Estimation for Worriers
Eberhardt, Markus; Banerjee, Anindya; Reade, J. James - Department of Economics, Oxford University - 2010
The recent blossoming of panel econometrics in general and panel time-series methods in particular has enabled many more research questions to be investigated than before. However, this development has not assuaged serious concerns over the lack of diagnostic testing procedures in panel...
Persistent link: https://www.econbiz.de/10008739202
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Testing for Panel Cointegration using Common Correlated Effects Estimators
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluis - Department of Economics, University of Birmingham - 2014
used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …
Persistent link: https://www.econbiz.de/10011164332
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Cointegration in panel data with breaks and cross-section dependence
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - 2006
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …
Persistent link: https://www.econbiz.de/10011604637
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Testing for panel cointegration using common correlated effects estimators
Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017
used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …
Persistent link: https://www.econbiz.de/10012058897
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Cointegration in Panel Data with Breaks and Cross-Section Dependence
Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - Department of Economics, European University Institute - 2006
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …
Persistent link: https://www.econbiz.de/10005697738