Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data

Anindya Banerjee, Massimiliano Marcellino and Chiara Osbat

Economics Working Papers from European University Institute

Abstract: We show how the use of panel data methods such as those proposed in single equations by Kao and Pedroni or in systems by Larsson and Lyhagen to investigate economic hypotheses such as purchading power pariety or the term structure of interest rates may be affected by the existence of cross-unit cointegrating relations.

Keywords: MACROECONOMICS; INTEREST RATE; TESTS (search for similar items in EconPapers)
JEL-codes: C10 E4 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2000
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Citations: View citations in EconPapers (27)

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Related works:
Journal Article: Some cautions on the use of panel methods for integrated series of macroeconomic data (2004)
Working Paper: Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco2000/20

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