Alternative representations for cointegrated panels with global stochastic trends

In this paper, we consider a cointegrated panel data model with non-stationary common factors, which, because of its appeal in many economic applications, has received much attention in the recent literature. By deriving a Granger-type representation theorem, we obtain several equivalent model formulations, which have differing merits for empirical work.

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Year of publication:	2013
Authors:	Gengenbach, Christian ; Urbain, Jean-Pierre ; Westerlund, Joakim
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 3, p. 485-488
Publisher:	Elsevier
Subject:	Representation \| Panel cointegration \| Error correction \| Common factors

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010688093