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Testing for multicointegration in panel data with common factors

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  • Vanessa Berenguer Rico
  • Josep Lluis Carrion Silvestre

    (Universitat de Barcelona)

Abstract

The paper addresses the concept of multicointegration in panel data frame- work. The proposal builds upon the panel data cointegration procedures developed in Pedroni (2004), for which we compute the moments of the parametric statistics. When individuals are either cross-section independent or cross-section dependence can be re- moved by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes analysis.

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Bibliographic Info

Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 160.

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Length: 31 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:bar:bedcje:2006160

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Postal: Espai de Recerca en Economia, Facultat de Ciències Econòmiques. Tinent Coronel Valenzuela, Num 1-11 08034 Barcelona. Spain.
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  1. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, Econometric Society, vol. 59(2), pages 283-306, March.
  2. Ng, S. & Perron, P., 1994. "Unit Root Tests ARMA Models with Data Dependent Methods for the Selection of the Truncation Lag," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques 9423, Universite de Montreal, Departement de sciences economiques.
  3. Anindya Banerjee & Lynne Cockerell & Bill Russell, 2001. "An I(2) analysis of inflation and the markup," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 16(3), pages 221-240.
  4. Boriss Siliverstovs, 2003. "Multicointegration in US Consumption Data," Discussion Papers of DIW Berlin 382, DIW Berlin, German Institute for Economic Research.
  5. James H. Stock & Mark W. Watson, 1991. "A simple estimator of cointegrating vectors in higher order integrated systems," Working Paper Series, Macroeconomic Issues, Federal Reserve Bank of Chicago 91-3, Federal Reserve Bank of Chicago.
  6. Jushan Bai & Serena Ng, 2004. "A PANIC Attack on Unit Roots and Cointegration," Econometrica, Econometric Society, Econometric Society, vol. 72(4), pages 1127-1177, 07.
  7. Haldrup, Niels, 1994. "The asymptotics of single-equation cointegration regressions with I(1) and I(2) variables," Journal of Econometrics, Elsevier, Elsevier, vol. 63(1), pages 153-181, July.
  8. Lori Leachman & Bill Francis, 2002. "Twin Deficits: Apparition or Reality?," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 34(9), pages 1121-1132.
  9. Banerjee, Anindya & Massimiliano Marcellino & Chiara Osbat, 2002. "Testing for PPP: Should We Use Panel Methods?," Royal Economic Society Annual Conference 2002, Royal Economic Society 13, Royal Economic Society.
  10. Banerjee, Anindya, 1999. " Panel Data Unit Roots and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 607-29, Special I.
  11. Maddala, G S & Wu, Shaowen, 1999. " A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-52, Special I.
  12. Peter Pedroni, 2004. "Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Department of Economics Working Papers, Department of Economics, Williams College 2004-15, Department of Economics, Williams College.
  13. Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 0535, Faculty of Economics, University of Cambridge.
  14. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, Elsevier, vol. 115(1), pages 53-74, July.
  15. Banerjee, Anindya & Carrion-i-Silvestre, Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series, European Central Bank 0591, European Central Bank.
  16. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, Elsevier, vol. 56(3), pages 259-266, November.
  17. Joakim Westerlund, 2005. "Data Dependent Endogeneity Correction in Cointegrated Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 691-705, October.
  18. Peter C.B. Phillips & Steven N. Durlauf, 1985. "Multiple Time Series Regression with Integrated Processes," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 768, Cowles Foundation for Research in Economics, Yale University.
  19. Engsted, Tom & Haldrup, Niels, 1999. " Multicointegration in Stock-Flow Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 237-54, May.
  20. Peter C.B. Phillips & Sam Ouliaris, 1987. "Asymptotic Properties of Residual Based Tests for Cointegration," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 847R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1988.
  21. Lee, Tae-Hwy, 1992. "Stock-Flow Relationships in U.S. Housing Construction," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 419-30, August.
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