Testing for multicointegration in panel data with common factors

Vanessa Berenguer Rico and Josep Carrion-i-Silvestre

No 160, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or cross-section dependence can be re- moved by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes analysis.

JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2006
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Testing for Multicointegration in Panel Data with Common Factors* (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bar:bedcje:2006160

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