IDEAS home Printed from https://ideas.repec.org/p/cbt/econwp/26-08.html

Bounds and PANICO Testing for Cointegration in Panels with Common Factors

Author

Listed:
  • Anindya Banerjee
  • Josep Lluís Carrion-i-Silvestre

Abstract

A panel data cointegration testing methodology in the presence of unobserved common factors is proposed, focusing first on a bounds-based strategy proposed by Pesaran et al. (2001), and then moving to a comprehensive analysis of the idiosyncratic and common components using PANIC-based approximations as suggested by Bai and Ng (2004). We call this latter approach PANICO (PANIC Analysis of Cointegration). We are thus able to derive an extension to the PANIC testing strategy for unit roots in panels to cointegration in panels and to o¤er detailed comparisons between the Pesaran and Bai-Ng classes of tests, the former based on cross-section averaging, the latter relying instead on factors extracted by principal components.

Suggested Citation

  • Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2026. "Bounds and PANICO Testing for Cointegration in Panels with Common Factors," Working Papers in Economics 26/08, University of Canterbury, Department of Economics and Finance.
    • Handle: RePEc:cbt:econwp:26/08
    as

    Download full text from publisher

    File URL: https://repec.canterbury.ac.nz/cbt/econwp/2608.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cbt:econwp:26/08. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Albert Yee (email available below). General contact details of provider: https://edirc.repec.org/data/decannz.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.