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Panel Data Unit Roots and Cointegration: An Overview

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  • Anindya Banerjee

Abstract

Recent developments in the field of the econometrics of panel data with non‐stationary series are reviewed and interpreted. In particular, we discuss tests for unit roots and cointegration, and the roles of mean and variance correction, non‐parametric correction and full modification for the construction of these tests and estimators. A discussion of the key contributions of the papers in this special issue is placed within the framework of the current literature and areas for further development are proposed.

Suggested Citation

  • Anindya Banerjee, 1999. "Panel Data Unit Roots and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 607-629, November.
    • Handle: RePEc:bla:obuest:v:61:y:1999:i:s1:p:607-629
    DOI: 10.1111/1468-0084.0610s1607
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