Panels with non-stationary multifactor error structures

Journal of Econometrics

Volumn 160, Issue 2, 2011, Pages 326-348

  Kapetanios, G ^a   Pesaran, M Hashem ^b,c   Yamagata, T ^d  

^a QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^d UNIVERSITY OF YORK   (United Kingdom)

Author keywords

Common correlated effects; Cross section dependence; Large panels; Principal components; Unit roots

Indexed keywords

COMMON CORRELATED EFFECTS; CROSS-SECTION DEPENDENCE; LARGE PANELS; PRINCIPAL COMPONENTS; UNIT ROOT;

STATISTICAL TESTS;

MONTE CARLO METHODS;

EID: 78650521130     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.10.001     Document Type: Article

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