EconPapers    
Economics at your fingertips  
 

Unit Roots and Cointegration in Panels

Jörg Breitung () and M Pesaran ()

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could arise if the unit roots in the different cross section units are due to common random walk components.

Keywords: Panel Unit Roots; Panel Cointegration; Cross Section Dependence; Common Effects (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2005-08
Note: EM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (78) Track citations by RSS feed

Downloads: (external link)
http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe0535.pdf (application/pdf)

Related works:
Working Paper: Unit Roots and Cointegration in Panels (2005) Downloads
Working Paper: Unit Roots and Cointegration in Panels (2005)
Working Paper: Unit roots and cointegration in panels (2005) Downloads
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:cam:camdae:0535

Access Statistics for this paper

More papers in Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
Bibliographic data for series maintained by Jake Dyer (). This e-mail address is bad, please contact .

 
Page updated 2019-04-19
Handle: RePEc:cam:camdae:0535