Some cautions on the use of panel methods for integrated series of macroeconomic data

DOI10.1111/j.1368-423X.2004.00133.xzbMath1114.91344OpenAlexW3121605804MaRDI QIDQ3023025

Massimiliano Marcellino, Anindya Banerjee, Chiara Osbat

Publication date: 4 July 2005

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2004.00133.x

zbMATH Keywords

cointegrationunit roots

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

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Uses Software

• PcGive
• Ox

Cites Work

• Spurious regression and residual-based tests for cointegration in panel data
• Estimating long-run relationships from dynamic heterogeneous panels
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models