Panel Data Unit Roots and Cointegration: An Overview

Anindya Banerjee

Oxford Bulletin of Economics and Statistics, 1999, vol. 61, issue S1, 607-629

Abstract: Recent developments in the field of the econometrics of panel data with non‐stationary series are reviewed and interpreted. In particular, we discuss tests for unit roots and cointegration, and the roles of mean and variance correction, non‐parametric correction and full modification for the construction of these tests and estimators. A discussion of the key contributions of the papers in this special issue is placed within the framework of the current literature and areas for further development are proposed.

Date: 1999
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Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

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