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- W1772057008 abstract "This paper addresses the concept of multicointegration in a panel data framework and builds upon the panel data cointegration procedures developed in Pedroni [Econometric Theory (2004), Vol. 20, pp. 597–625]. When individuals are either cross-section independent, or cross-section dependence can be removed by cross-section demeaning, our approach can be applied to the wider framework of mixed I(2) and I(1) stochastic processes. The paper also deals with the issue of cross-section dependence using approximate common-factor models. Finite sample performance is investigated through Monte Carlo simulations. Finally, we illustrate the use of the procedure investigating an inventories, sales and production relationship for a panel of US industries." @default.
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- W1772057008 date "2006-11-23" @default.
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- W1772057008 title "Testing for Multicointegration in Panel Data with Common Factors*" @default.
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- W1772057008 doi "https://doi.org/10.1111/j.1468-0084.2006.00453.x" @default.
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