Alternative representations for cointegrated panels with global stochastic trends

C. Gengenbach; J.R.Y.J. Urbain; J. Westerlund

doi:10.1016/j.econlet.2012.12.028

Alternative representations for cointegrated panels with global stochastic trends

C. Gengenbach, J.R.Y.J. Urbain^*, J. Westerlund

^*Corresponding author for this work

Quantitative Economics

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

In this paper, we consider a cointegrated panel data model with non-stationary common factors, which, because of its appeal in many economic applications, has received much attention in the recent literature. By deriving a Granger-type representation theorem, we obtain several equivalent model formulations, which have differing merits for empirical work. (C) 2013 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	485-488
Number of pages	4
Journal	Economics Letters
Volume	118
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2012.12.028
Publication status	Published - Mar 2013

Keywords

Representation
Panel cointegration
Error correction
Common factors
ERROR-CORRECTION

Access to Document

10.1016/j.econlet.2012.12.028

Cite this

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title = "Alternative representations for cointegrated panels with global stochastic trends",

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AU - Westerlund, J.

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AB - In this paper, we consider a cointegrated panel data model with non-stationary common factors, which, because of its appeal in many economic applications, has received much attention in the recent literature. By deriving a Granger-type representation theorem, we obtain several equivalent model formulations, which have differing merits for empirical work. (C) 2013 Elsevier B.V. All rights reserved.

KW - Representation

KW - Panel cointegration

KW - Error correction

KW - Common factors

KW - ERROR-CORRECTION

U2 - 10.1016/j.econlet.2012.12.028

DO - 10.1016/j.econlet.2012.12.028

M3 - Article

SN - 0165-1765

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JO - Economics Letters

JF - Economics Letters

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