Chang, Yoosoon; Nguyen, Chi Mai - In: Journal of Econometrics 167 (2012) 2, pp. 504-520
In the paper, we propose residual based tests for cointegration in general panels with cross-sectional dependency, endogeneity and various heterogeneities. The residuals are obtained from the usual least squares estimation of the postulated cointegrating relationships from each individual unit,...