Panel Cointegration Techniques and Open Challenges

Peter Pedroni

No 2018-09, Department of Economics Working Papers from Department of Economics, Williams College

Abstract: This chapter discusses the challenges that shape panel cointegration techniques, with an emphasis on the challenge of maintaining the robustness of cointegration methods when temporal dependencies interact with both cross sectional heterogeneities and dependencies. It also discusses some of the open challenges that lie ahead, including the challenge of generalizing to nonlinear and time varying cointegrating relationships. The chapter is written in a nontechnical style that is intended to be assessable to nonspecialists, with an emphasis on conveying the underlying concepts and intuition.

Keywords: Panel Time Series; Cointegration; Nonstationary Panels; Nonlinear Panels (search for similar items in EconPapers)
JEL-codes: C33 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2018-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Forthcoming in Panel Data Econometrics, Vol. 1: Theory, Elsevier.

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