[下载]Panel Cointegration的12篇经典文献

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（1）Panel Cointegration: Residual-Based Approaches
1.McCoskey S. and C. Kao. 1998. A Residual-based Test of the Null Cointegration in Panel Data. Econometric Review, 17, 57-84.
2.Kao, C. 1999. Spurious regression and residual-based tests for cointegration in panel data. Journal of Econometrics, 90, 1-44.
3.Pedroni, P. 2004. Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric Theory, 20, 597--625.
4.Moon, R. and B. Perron. 2004. Testing for Unit Root in Panels with Dynamic Factors. Journal of Econometrics, 122, 81-126.
5.Pesaran, M.H. 2007. A Simple Panel Unit Root Test in the Presence of Cross Section Dependence. Journal of Applied Econometrics, 22, 265–312.
（2）Panel Cointegration: System Approaches（PVECM）
6.Larsson, R. and J. Lyhagen. 1999. Likelihood-based Inference in Multivariate Panel Cointegration Models. Working paper series in Economics and Finance, no. 331, Stockholm School of Economics.
7.Larsson, R., J. Lyhagen and M. Lothgren. 2001. Likelihood-based Cointegration Tests in Heterogenous Panels. Econometrics Journal, 4, 109–142.
8.Groen, J.J.J. and F. Kleibergen. 2003. Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models. Journal of Business and Economic Statistics, 21,295–318.
9.Banerjee, A., M. Marcellino and C. Osbat. 2004. Some cautions on the use of panel methods for integrated series of macro-economic data. Econometrics Journal, 7, 322–340.
（3）Cross-Section Dependence and the Global VAR
10.Mark, N.C., M. Ogaki and D. Sul. 2004. Dynamic Seemingly Unrelated Cointegration Regression. forthcoming in: Review of Economic Studies.(DSUR)
11.Moon, H.R. and B. Perron. 2007. Efficient Estimation of the SUR Cointegration Regression Model and Testing for Purchasing Power Parity. forthcoming in: Econometric Reviews. (DSUR)
12.Pesaran, M.H., T. Schuermann, and S.M. Weiner. 2004. Modeling Regional Interdependencies using a Global Error-Correcting Macro-econometric Model. Journal of Business and Economic Statistics, 22, 129–162.(GVAR)
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[下载]Panel Cointegration的12篇经典文献
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