Demeaning the data in panel-cointegration models to control for cross-sectional dependencies
The literature on panel-cointegration has suggested demeaning the data to control for a cross-sectional dependence. This paper demonstrates that this routine works well on exogenous common components but not as well on endogenous common cross-correlations.
Year of publication: |
2011
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Authors: | Solberger, Martin |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 3, p. 252-254
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Publisher: |
Elsevier |
Subject: | Panel-cointegration Cross-sectional dependence Demeaning |
Saved in:
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