Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data
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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|Date of creation:||2000|
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