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 |
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Pages (from-to) | 485-488 |
Number of pages | 4 |
Journal | Economics Letters |
Volume | 118 |
Issue number | 3 |
DOIs | |
Publication status | Published - Mar 2013 |
Keywords
- Representation
- Panel cointegration
- Error correction
- Common factors
- ERROR-CORRECTION