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Panel cointegration with global stochastic trends
Abstract
This paper studies estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. The standard least squares estimator is, in general, inconsistent owing to the spuriousness induced by the unobservable I(1) trends. We propose two iterative procedures that jointly estimate the slope parameters and the stochastic trends. The resulting estimators are referred to respectively as CupBC (continuously-updated and bias-corrected) and the CupFM (continuously-updated and fully-modified) estimators. We establish their consistency and derive their limiting distributions. Both are asymptotically unbiased and (mixed) normal and permit inference to be conducted using standard test statistics. The estimators are also valid when there are mixed stationary and non-stationary factors, as well as when the factors are all stationary.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
A simple panel unit root test in the presence of cross‐section dependence
Pesaran, M. H. (2007) · Journal of Applied Econometrics · doi:10.1002/jae.951 · Cited by 12,787
Hsiao, C. (2014) · doi:10.1017/cbo9781139839327 · Cited by 7,869
Estimating long-run relationships from dynamic heterogeneous panels
Pesaran, M. H., & Smith, R. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01644-f · Cited by 5,479
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Metadata
- Authors
- Bai, J., Kao, C., & Ng, S.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2009-04
- Volume
- 149
- Issue
- 1
- Pages
- 82-99
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2134956854
- Cited by
- 393
- References
- 4
- FWCI
- 18.20
- Type
- journal article
- Language
- en
- Open access
- closed
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- Bai, J., Kao, C., & Ng, S. (2009). Panel cointegration with global stochastic trends. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2008.10.012
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
