Demeaning the data in panel-cointegration models to control for cross-sectional dependencies
2011 (English)In: Economics Letters, ISSN 0165-1765, Vol. 110, no 3, 252-254 p.Article in journal (Refereed) Published
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.
Cross-sectional dependence, Demeaning, Panel-cointegration
Probability Theory and Statistics
Research subject Statistics; Econometrics
IdentifiersURN: urn:nbn:se:uu:diva-142720DOI: 10.1016/j.econlet.2010.11.026ISI: 000288404800024OAI: oai:DiVA.org:uu-142720DiVA: diva2:387954