While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration - in effect, a joint test against …

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …

cointegration tests and estimators that account for both cross-section dependence in the data and discontinuities in the …

This paper provides a review of the literature on unit roots and cointegration …

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 …

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …