Cointegration in Panel Data with Breaks and Cross-section Dependence

Anindya Banerjee and Josep Carrion-i-Silvestre

Discussion Papers from Department of Economics, University of Birmingham

Abstract: Panel cointegration, structural break, common factors, cross-section dependence

Keywords: Panel cointegration; structural break; common factors; cross-section dependence (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2011-12
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://repec.cal.bham.ac.uk/pdf/11-25.pdf

Related works:
Working Paper: Cointegration in panel data with breaks and cross-section dependence (2006)
Working Paper: Cointegration in Panel Data with Breaks and Cross-Section Dependence (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:bir:birmec:11-25

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