Panel cointegration with global stochastic trends

Journal of Econometrics

Volumn 149, Issue 1, 2009, Pages 82-99

  Bai, Jushan ^a,b   Kao, Chihwa ^c   Ng, Serena ^d  

^a NEW YORK UNIVERSITY   (United States)

^b Tsinghua University   (China)

^c SYRACUSE UNIVERSITY   (United States)

^d Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

Co movements; Common shocks; Cross sectional dependence; Factor analysis; Fully modified estimator; Panel data

Indexed keywords

CURVE FITTING; RANDOM PROCESSES; STATISTICAL TESTS; STOCHASTIC MODELS;

CO-MOVEMENTS; COMMON SHOCKS; CROSS-SECTIONAL DEPENDENCE; FACTOR ANALYSIS; FULLY-MODIFIED ESTIMATOR; PANEL DATA;

PARAMETER ESTIMATION;

EID: 63149111376     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.10.012     Document Type: Article

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