Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153025
Authors: 
Banerjee, Anindya
Carrion-i-Silvestre, Josep Lluís
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper 591
Abstract: 
The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one structural break when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power. Response surfaces to approximate the finite sample moments that are required to implement the statistics are provided. Since panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the common factor framework is carried out in order to allow for dependence among the units of the panel.
Subjects: 
common factors
cross-section dependence
Panel Cointegration
structural break
JEL: 
C12
C22
Document Type: 
Working Paper

Files in This Item:
File
Size
603.11 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.