Panel Data Cointegration Testing with Structural Instabilities
Bibliographic Data
| ID | 19418471 |
|---|---|
| Authors | Anindya Banerjee (0000-0002-7836-7019, Department of Economics, University of Birmingham Edgbaston, Birmingham, UK, corresponding author), Josep Lluís Carrion‐i‐Silvestre (0000-0003-2733-7677, University of Barcelona, Barcelona, Spain), Josep Lluís Carrion-i-Silvestre |
| Year | 2025 |
| Volume | 43 |
| Issue | 1 |
| Pages | 122-133 |
| Publication date | 2025-01-02 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2024.2327844 |
| OpenAlex | W4392544561 |
| Language | EN |
| Citations received | 2 |
| References cited | 32 |
Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the article.The set-up includes (possibly unknown) multiple structural breaks that can affect both the deterministic and the common factor components.We show that consistent estimation of the long-run average parameter is possible once cross-section dependence is controlled using cross-section averages in the spirit of Pesaran's common correlated effects approach.This result is used to design individual and panel cointegration test statistics that accommodate the presence of structural breaks that can induce parameter instabilities in the deterministic component, the cointegration vector and the common factor loadings
Cointegration · Econometrics · Economics · Panel data · Global Financial Crisis and Policies · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
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Determining the Number of Factors in Approximate Factor Models
Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
A simple panel unit root test in the presence of cross‐section dependence
Multiple Structural Breaks in Interactive Effects Panel Data Models
Testing for a Unit Root in a Time Series With a Changing Mean
| Citations per year | 2 |
|---|---|
| Citation span | 2026 - 2026 (1) |
| Highly cited | No |