Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/202675
Authors: 
Banerjee, Anindya
Carrion i Silvestre, Josep Lluís
Year of Publication: 
2017
Series/Report no.: 
Birmingham Business School Discussion Paper Series 2017-02
Abstract: 
Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. We show that consistent estimation of the long-run average parameter is possible once we control for cross-section dependence using cross-section averages in the spirit of the common correlated effects approach in Pesaran (2006). This result is used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the proposal is investigated in comparison with factor-based methods to control for cross-section dependence when strong, semi-weak and weak cross-section dependence may be present.
Subjects: 
panel cointegration
cross-section dependence
common factors
spatial econometrics
JEL: 
C12
C22
URL of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-sa/2.5/
Document Type: 
Working Paper

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