文章基本信息

标题：Cointegration in panel data with breaks and cross-section dependence
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作者：Anindya Banerjee ; Josep Lluís Carrion-i-Silvestre
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2006
出版社：European Central Bank
摘要：The power of standard panel cointegration statistics may be a¤ected by misspecication errors if proper account is not taken of the presence of structural breaks in the data. We propose modications to allow for one structural break when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power. Response surfaces to approximate the nite sample moments that are required to implement the statistics are provided. Since panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the common factor framework is carried out in order to allow for dependence among the units of the panel.
关键词：Panel cointegration; structural break; common factors; cross-section dependence