Most of the existing literature on panel data cointegration assumes cross-sectional independence, an assumption that is … difficult to satisfy. This paper studies panel cointegration under cross-sectional dependence, which is characterized by a … factor structure. We derive the limiting distribution of a fully modified estimator for the panel cointegrating coefficients …

panel cointegrated regression models. Monte Carlo results illustrate the sampling behavior of the proposed estimators and …

In this paper, we develop tests for structural change in cointegrated panel regressions with common and idiosyncratic …

compared to the cross-section dimension. -- Panel cointegration ; FM-OLS ; FM-SUR ; DOLS ; DSUR …

attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … independent even in the presence of correlation or cointegration across units, leading to a panel test statistic robust to cross …

. -- panel cointegration ; fully modified ordinary least squares ; fully modified seemingly unrelated regression ; dynamic …

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …