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Cointegration in Panel Data with Breaks and Cross-section Dependence

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  • Anindya Banerjee
  • Josep Lluis Carrion-i-Silvestre

Abstract

Panel cointegration, structural break, common factors, cross-section dependence

Suggested Citation

  • Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Cointegration in Panel Data with Breaks and Cross-section Dependence," Discussion Papers 11-25, Department of Economics, University of Birmingham.
    • Handle: RePEc:bir:birmec:11-25
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    More about this item

    Keywords

    Panel cointegration; structural break; common factors; cross-section dependence;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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