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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/19029
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| Title: | | Unit roots and cointegration in panels  |
| 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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