Unit Roots and Cointegration in Panels
By Joerg Breitung, M. Pesaran. Social Science Research Network, 2005
994 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/6da988545efb1adbd2bb684c6292fc04bf0aa875
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Joakim Westerlund
- Muhammad Shahbaz
- Josep Lluís Carrion‐i‐Silvestre
- Ilhan Ozturk
- M. Pesaran
- Anindya Banerjee
- J. Urbain
- Franz C. Palm
In Finance
- Joakim Westerlund
- Jushan Bai
- Serena Ng
- Christophe Rault
- Josep Lluís Carrion‐i‐Silvestre
- J. Urbain
- Franz C. Palm
- C. Gengenbach
Citations in the corpus
- A simple panel unit root test in the presence of cross-section dependence (2007, neutral): “Copyright 2007 John Wiley & Sons, Ltd. Received 31 January 2005; Revised 19 October 2006”
- Does external debt lead to economic growth in Pacific island countries (2009, methodology): “This note is based on surveys, which include Banerjee (1999), Baltagi and Kao (2000), Breitung and Pesaran (2008, Chap. 9). These tests are also available in the manual of Eviews (see http://www.eviews.com). Further, Hlouskova and Wagner (2006) also provide a survey on the performance of the panel u”
- Social capital, barriers to production and capital shares: implications for the importance of parameter heterogeneity from a nonstationary panel approach (2007, background): “1 For recent reviews of the nonstationary panel literature, see Breitung and Pesaran (2006) and Pedroni and Urbain (2006).”
- Testing for Panel Cointegration Using Common Correlated Effects Estimators (2017, background): “Under the assumption that Hi (1) is positive de nite almost surely for all i (spurious regression) and rank ( ) = r (1 + k) for all N as T;N !1, the pooled estimator given in (8) converges as (T;N)!1 jointly to ̂PCCE p ! = 1 UxUx UxUy :”
- Panel data analysis—advantages and challenges (2007, neutral): “For further review of the literature on unit roots and cointegration in panels, see Breitung and Pesaran (2006) and Choi (2006).”
- Macroprudential Policies and Housing Prices-A New Database and Empirical Evidence for Central, Eastern, and Southeastern Europe (2012, positive): “15 We perform the Maddala and Wu test on series that are demeaned in the cross-section and time series dimensions to remove the time effects, as suggested by Breitung and Pesaran (2005). We use Stata’s xtwest command (Persyn and Westerlund, 2008) including a constant and two lags, and setting the wi”
- Panel cointegration with global stochastic trends (2008, background): “Breitung and Pesaran (2005) provide additional references in their survey.”