Non-stationary Panels

Francis J. Bismans () and Olivier Damette ()
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Francis J. Bismans: University of Lorraine
Olivier Damette: University of Lorraine

Chapter Chapter 9 in Dynamic Econometrics, 2025, pp 263-293 from Springer

Abstract: Abstract Chapter 9 is entirely devoted to the study of non-stationary panels. He begins by presenting the various unit root tests adapted to panel series. It also considers the problem of cross-sectional dependence between units and its consequences. Finally, it presents the various tests for evaluating cointegration relationships in panels.

Keywords: First-generation unit root tests; Pesaran CD test; Second and third-generation tests; PANIC test; Pesaran test; Structural break tests; Cointegrated panel models and tests (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/978-3-031-72910-2_9

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