Unit Roots and Cointegration in Panels

Jörg Breitung () and Mohammad Pesaran

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

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.

Keywords: Panel Unit Roots; Panel Cointegration; Cross Section Dependence; Common Effects (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C23 (search for similar items in EconPapers)
Pages: 50
Date: 2005-08
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: EM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (146)

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https://files.econ.cam.ac.uk/repec/cam/pdf/cwpe0535.pdf (application/pdf)

Related works:
Working Paper: Unit Roots and Cointegration in Panels (2005)
Working Paper: Unit Roots and Cointegration in Panels (2005)
Working Paper: Unit roots and cointegration in panels (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:0535

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