Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data
AbstractWe show how the use of panel data methods such as those proposed in single equations by Kao and Pedroni or in systems by Larsson and Lyhagen to investigate economic hypotheses such as purchading power pariety or the term structure of interest rates may be affected by the existence of cross-unit cointegrating relations.
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number eco2000/20.
Length: 40 pages
Date of creation: 2000
Date of revision:
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MACROECONOMICS ; INTEREST RATE ; TESTS;
Other versions of this item:
- Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, 2004. "Some cautions on the use of panel methods for integrated series of macroeconomic data," Econometrics Journal, Royal Economic Society, vol. 7(2), pages 322-340, December.
- Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, . "Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data," Working Papers 170, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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