Cointegration in Panel Data with Breaks and Cross-Section Dependence

Anindya Banerjee and Josep Carrion-i-Silvestre

No ECO2006/5, Economics Working Papers from European University Institute

Abstract: The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one structural break when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power. Response surfaces to approximate the finite sample moments that are required to implement the statistics are provided. Since panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the common factor framework is carried out in order to allow for dependence among the units of the panel.

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)
Date: 2006
New Economics Papers: this item is included in nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (115)

Downloads: (external link)
http://cadmus.iue.it/dspace/bitstream/1814/4156/1/ECO2006-5.pdf main text
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Working Paper: Cointegration in Panel Data with Breaks and Cross-section Dependence (2011)
Working Paper: Cointegration in panel data with breaks and cross-section dependence (2006)
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:eui:euiwps:eco2006/5

Access Statistics for this paper

More papers in Economics Working Papers from European University Institute Badia Fiesolana, Via dei Roccettini, 9, 50014 San Domenico di Fiesole (FI) Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Cécile Brière ().