Resource title

Unit roots and cointegration in panels

Resource image

image for OpenScout resource :: Unit roots and cointegration in panels

Resource description

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T) and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could arise if the unit roots in the different cross section units are due to common random walk components.

Resource author

Jörg Breitung, Mohammad Hashem Pesaran

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/19029

Resource license

Adapt according to the presented license agreement and reference the original author.