uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
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, E-ISSN 1873-7374, 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
Identifiers
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: 2017-12-11Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full text

Authority records BETA

Solberger, Martin

Search in DiVA

By author/editor
Solberger, Martin
By organisation
Department of Statistics
In the same journal
Economics Letters
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric score

doi
urn-nbn
Total: 811 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf