COINTEGRATION IN PANEL DATA WITH STRUCTURAL BREAKS AND CROSS-SECTION DEPENDENCE

被引：75

作者：

Banerjee, Anindya ^{[1
,2
]}

Lluis Carrion-i-Silvestre, Josep ^{[3
]}

机构：

[1] Univ Birmingham, Dept Econ, Birmingham B15 2TT, W Midlands, England

[2] Banque France, Paris, France

[3] Univ Barcelona, AQR Res Grp, Dept Econometr Stat & Spanish Econ, E-08007 Barcelona, Spain

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2015年 / 30卷 / 01期

关键词：

TESTS; NULL; MODELS;

D O I：

10.1002/jae.2348

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The power of standard panel cointegration statistics may be affected by misspecification errors if structural breaks in the parameters generating the process are not considered. In addition, the presence of cross-section dependence among the panel units can distort the empirical size of the statistics. We therefore design a testing procedure that allows for both structural breaks and cross-section dependence when testing the null hypothesis of no cointegration. The paper proposes test statistics that can be used when one or both features are present. We illustrate our proposal by analysing the pass-through of import prices on a sample of European countries. Copyright (c) 2013 John Wiley & Sons, Ltd.

引用

页码：1 / 23

页数：23

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