Unit Roots and Cointegration in Panels

Jörg Breitung () and Mohammad Pesaran

No 1565, CESifo Working Paper Series from CESifo

Abstract: 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.

Keywords: panel unit roots; panel cointegration; cross section dependence; common effects (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C23 (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (147)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp1565.pdf (application/pdf)

Related works:
Working Paper: Unit Roots and Cointegration in Panels (2005)
Working Paper: Unit Roots and Cointegration in Panels (2005)
Working Paper: Unit roots and cointegration in panels (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_1565

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().