Alternative representations for cointegrated panels with global stochastic trends

Christian Gengenbach, Jean-Pierre Urbain and Joakim Westerlund

Economics Letters, 2013, vol. 118, issue 3, 485-488

Abstract: In this paper, we consider a cointegrated panel data model with non-stationary common factors, which, because of its appeal in many economic applications, has received much attention in the recent literature. By deriving a Granger-type representation theorem, we obtain several equivalent model formulations, which have differing merits for empirical work.

Keywords: Representation; Panel cointegration; Error correction; Common factors (search for similar items in EconPapers)
JEL-codes: C12 C13 C33 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:3:p:485-488

DOI: 10.1016/j.econlet.2012.12.028

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