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

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10.1016/j.econlet.2012.12.028

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

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.",

keywords = "Representation, Panel cointegration, Error correction, Common factors, ERROR-CORRECTION",

author = "C. Gengenbach and J.R.Y.J. Urbain and J. Westerlund",

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AU - Gengenbach, C.

AU - Urbain, J.R.Y.J.

AU - Westerlund, J.

PY - 2013/3

Y1 - 2013/3

N2 - 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.

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

VL - 118

SP - 485

EP - 488

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Alternative representations for cointegrated panels with global stochastic trends

Abstract

Keywords

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