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.

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Year of publication:	2011
Authors:	Solberger, Martin
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 3, p. 252-254
Publisher:	Elsevier
Subject:	Panel-cointegration Cross-sectional dependence Demeaning

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008866976