cointegration to hold in the aggregate relationship. We also develop an estimation and testing framework to verify whether the … condition is met. Secondly, we analyze the case when cointegration doesn't carry through the aggregation process, investigating … derive the asymptotic measure of the degree of non cointegration of the aggregated estimate and we provide estimation and …

data unit root and stationarity tests to characterize our data. Then, we test cointegration between our variables with Kao …[16] panel data cointegration tests. As we accept cointegration, we compare different estimators (OLS, FMOLS, DOLS …

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

In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic … possible cointegration across units. …

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

for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and … considered are T ϵ {10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500}. -- panel cointegration test ; correction factor …