TESTING FOR PANEL COINTEGRATION USING COMMON CORRELATED EFFECTS ESTIMATORS

Banerjee, A; Carrion-I-Silvestre, JL

Banerjee, A (reprint author), Univ Birmingham, Dept Econ, Birmingham B15 2TT, W Midlands, England.

JOURNAL OF TIME SERIES ANALYSIS, 2017; 38 (4): 610

Abstract

Spurious regression analysis in panel data when the time series are cross section dependent is analysed in the article. We show that consistent estima......

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