Demeaning the data in panel-cointegration models to control for cross-sectional dependencies

DOI10.1016/J.ECONLET.2010.11.026zbMath1210.62241OpenAlexW2066745135MaRDI QIDQ531415

Martin Solberger

Publication date: 29 April 2011

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2010.11.026

zbMATH Keywords

cross-sectional dependencedemeaningpanel-cointegration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Spurious regression and residual-based tests for cointegration in panel data
• Asymptotic Properties of Residual Based Tests for Cointegration
• Useful matrix transformations for panel data analysis: a survey
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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