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Econometric Methods

In: Convergence in Output and Its Sources Among Industrialised Countries

Author

Listed:
  • Macarena Hernández-Salmerón

    (Regional Government of Andalusia)

  • Diego Romero-Ávila

    (Pablo de Olavide University)

Abstract

This chapter presents the methodology for the construction of the large battery of panel unit root and stationarity tests employed in the first part of the analysis, which explicitly allow for cross-sectional dependence. Smith et al. (J Appl Econometrics 19:147–170, 2004) and Hadri (Econom J 3:148–161, 2000) control for general forms of cross-dependence through bootstrap methods, Breitung and Das (Statistica Neerlandica 59:414–433, 2005) control for contemporaneous cross-correlation through seemingly-unrelated methods, Chang (J Econom 110:261–292, 2002) allows for cross-correlation by using a nonlinear instrumental variables method, Choi (Econometric theory and practice: frontiers of analysis and applied research: essays in honor of Peter C.B. Phillips, pp 311–334, 2002) considers a restrictive one-factor model in which all cross-sectional units are equally affected by the common factor, Pesaran (J Appl Econom 22(2):265–312, 2007) also allows for one common factor but with different factor loadings across units, and Moon and Perron (J Econom 122:81–126, 2004) and Harris et al. (J Bus Econ Stat 23:395–409, 2005) incorporate multiple common factors.

Suggested Citation

  • Macarena Hernández-Salmerón & Diego Romero-Ávila, 2015. "Econometric Methods," SpringerBriefs in Economics, in: Convergence in Output and Its Sources Among Industrialised Countries, edition 127, chapter 0, pages 15-24, Springer.
    • Handle: RePEc:spr:spbchp:978-3-319-13635-6_3
    DOI: 10.1007/978-3-319-13635-6_3
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