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This paper studies estimation of panel co-integration models with cross-sectional dependence Generated by unobserved global stochastic trends. The standard least squares estimator is, in General, inconsistent owing to the spuriousness induced by the unobservable i(1) trends. We propose two...
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Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a factor structure. We derive the limiting distribution...
Persistent link: https://www.econbiz.de/10013126684
This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of non-stationarity in the data. We refer to it as PANIC - a 'Panel Analysis of Non-stationarity in Idiosyncratic and Common components'. PANIC consists of univariate...
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