Testing for multicointegration in panel data with common factors

The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or cross-section dependence can be re- moved by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes analysis.

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Year of publication:	2006
Authors:	Rico, Vanessa Berenguer ; Silvestre, Josep Lluis Carrion
Institutions:	Facultat d'Economia i Empresa, Universitat de Barcelona
Subject:	common factors \| cross-section dependence \| i(2) processes \| crossmulticointegration \| panel data \| multicointegration

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Series:	Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Documents de Treball Number 160 31 pages
Classification:	C22 - Time-Series Models ; C12 - Hypothesis Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005120759