Nonstationary Panels

Badi Baltagi

Chapter Chapter 12 in Econometric Analysis of Panel Data, 2021, pp 337-389 from Springer

Abstract: Abstract This chapter deals with nonstationary panel data models. These are large time-series panels where testing for unit roots and cointegration over time is feasible. Various first generation panel unit root tests are studied. These assume cross-sectional independence and are illustrated using EViews and Stata. Next, second generation panel unit root tests are considered which allow for cross-sectional dependence. Spurious regressions and cointegration in panels are studied. Three empirical examples are used to illustrate these methods including (i) purchasing power parity, (ii) international research and development spillover, and (iii) health care expenditures and gross domestic product.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sptchp:978-3-030-53953-5_12

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DOI: 10.1007/978-3-030-53953-5_12

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