Demeaning the data in panel-cointegration models to control for cross-sectional dependencies

Martin Solberger

Economics Letters, 2011, vol. 110, issue 3, 252-254

Abstract: The literature on panel-cointegration has suggested demeaning the data to control for a cross-sectional dependence. This paper demonstrates that this routine works well on exogenous common components but not as well on endogenous common cross-correlations.

Keywords: Panel-cointegration; Cross-sectional; dependence; Demeaning (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165-1765(10)00399-X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:110:y:2011:i:3:p:252-254

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().