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Panel Cointegration Techniques and Open Challenges

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Abstract

This chapter discusses the challenges that shape panel cointegration techniques, with an emphasis on the challenge of maintaining the robustness of cointegration methods when temporal dependencies interact with both cross sectional heterogeneities and dependencies. It also discusses some of the open challenges that lie ahead, including the challenge of generalizing to nonlinear and time varying cointegrating relationships. The chapter is written in a nontechnical style that is intended to be assessable to nonspecialists, with an emphasis on conveying the underlying concepts and intuition.

Suggested Citation

  • Peter Pedroni, 2018. "Panel Cointegration Techniques and Open Challenges," Department of Economics Working Papers 2018-09, Department of Economics, Williams College.
    • Handle: RePEc:wil:wileco:2018-09
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    File URL: https://web.williams.edu/Economics/wp/Pedroni_PanelCointegration.pdf
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    More about this item

    Keywords

    Panel Time Series; Cointegration; Nonstationary Panels; Nonlinear Panels;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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