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 of a fully modified estimator for the panel cointegrating coefficients …

panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and …

(DOLS) estimators in cointegrated regression models in panel data. We show that the OLS, FM, and DOLS estimators are all …

different variances. We provide examples of how to apply this approach to time series, panel, clustered and spatially correlated …