We 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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Paper 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: Handle: RePEc:eui:euiwps:eco2000/20
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Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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