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Title:Unit roots and cointegration in panels PDF Logo
Authors:Breitung, Jörg
Pesaran, Mohammad Hashem
Issue Date:2005
Series/Report no.:CESifo working papers 1565
Abstract:This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T) and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could arise if the unit roots in the different cross section units are due to common random walk components.
Subjects:panel unit roots
panel cointegration
cross section dependence
common effects
JEL:C22
C15
C12
C23
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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