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Panel Cointegration

In Choi ()

No 1208, Working Papers from Research Institute for Market Economy, Sogang University

Abstract: This paper surveys the literature on panel cointegration. It starts by dis- cussing cointegrating panel regressions for both cross-sectionally independent and correlated panels. It then introduces three groups of tests for panel coin-tegration : residual-based tests for the null of noncointegration, residual-based tests for the null of cointegration, and tests based on vector autoregression.

Pages: 42 pages
Date: 2013
New Economics Papers: this item is included in nep-ecm and nep-ets
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ftp://163.239.156.99/wpaper/CI_RIME_2013_1.pdf first version, 2013 (application/pdf)

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