Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data.

We show how the use of panel data methods such as those proposed in single equations by Kao and Pedroni or in systems by Larsson and Lyhagen to investigate economic hypotheses such as purchading power pariety or the term structure of interest rates may be affected by the existence of cross-unit cointegrating relations.

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Year of publication:	2000
Authors:	Banerjee, A. ; Marcellino, M. ; Osbat, C.
Institutions:	Department of Economics, European University Institute
Subject:	MACROECONOMICS \| INTEREST RATE \| TESTS

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	40 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; E4 - Money and Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005816391