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Alternative representations for cointegrated panels with global stochastic trends

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  • Gengenbach, Christian
  • Urbain, Jean-Pierre
  • Westerlund, Joakim

Abstract

In this paper, we consider a cointegrated panel data model with non-stationary common factors, which, because of its appeal in many economic applications, has received much attention in the recent literature. By deriving a Granger-type representation theorem, we obtain several equivalent model formulations, which have differing merits for empirical work.

Suggested Citation

  • Gengenbach, Christian & Urbain, Jean-Pierre & Westerlund, Joakim, 2013. "Alternative representations for cointegrated panels with global stochastic trends," Economics Letters, Elsevier, vol. 118(3), pages 485-488.
    • Handle: RePEc:eee:ecolet:v:118:y:2013:i:3:p:485-488
    DOI: 10.1016/j.econlet.2012.12.028
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    References listed on IDEAS

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    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
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    5. Patrick Sevestre & Laszlo Matyas, 2008. "The Econometrics of Panel Data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00279977, HAL.
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    8. Joakim Westerlund, 2007. "Testing for Error Correction in Panel Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 709-748, December.
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    Cited by:

    1. Enrique Moral-Benito & Luis Serv鮠, 2015. "Testing weak exogeneity in cointegrated panels," Applied Economics, Taylor & Francis Journals, vol. 47(30), pages 3216-3228, June.

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    More about this item

    Keywords

    Representation; Panel cointegration; Error correction; Common factors;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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