Unit Roots and Cointegration in Panels

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25422.rar (321.35 KB) 本附件包括：

• Unit Root and Cointegration in Panels.pdf

2005-9-6 16:58:00 上传

Unit Roots and Cointegration in Panels

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and the second generation tests that allow, in a variety of forms and degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration the hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could arise if the unit roots in the different cross section units are due to common random walk components.

also available: http://d.repec.org/n?u=RePEc:cam:camdae:0535&r=ecm

[此贴子已经被作者于2005-9-6 17:00:54编辑过]

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关键词：Integration unit root ration Panels ATION Unit Panels Roots

Thanks very much. Unit Roots and Cointegration in Panels is basic to analysis time series data.

谢谢

谢谢，多进行一些交流

十分感谢！

实在是太感谢了。

好啊

hi, thanks for the good paper.

r u also working in this area? i am quite new to this area, hope have time to discuss it with you

谢谢

thanks a lot