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Demeaning the data in panel-cointegration models to control for cross-sectional dependencies
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2011 (English)In: Economics Letters, ISSN 0165-1765, Vol. 110, no 3, 252-254 p.Article in journal (Refereed) Published
Abstract [en]

The literature on panel-cointegration has suggested demeaning the data to control for a cross-sectional dependence. This paper demonstrates that this routine works well on exogenous common components but not as well on endogenous common cross-correlations.

Place, publisher, year, edition, pages
2011. Vol. 110, no 3, 252-254 p.
Keyword [en]
Cross-sectional dependence, Demeaning, Panel-cointegration
National Category
Probability Theory and Statistics
Research subject
Statistics; Econometrics
URN: urn:nbn:se:uu:diva-142720DOI: 10.1016/j.econlet.2010.11.026ISI: 000288404800024OAI: oai:DiVA.org:uu-142720DiVA: diva2:387954
Available from: 2011-01-16 Created: 2011-01-16 Last updated: 2011-04-29Bibliographically approved

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ReferencesLink to record
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