Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data

By Anindya Banerjee, Massimiliano Marcellino, C. Osbat. 2004

479 citations recorded by the source corpus.

We show how the use of panel data methods such as those proposed in single equations by Kao and Pedroni or in systems by Larsson and Lyhagen to investigate economic hypotheses such as purchading power pariety or the term structure of interest rates may be affected by the existence of cross-unit cointegrating relations.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/8e271d4de9ef2bfd788a0fa048c05abcde3aad15

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In Economics and Econometrics

Citations in the corpus

New Simple Tests for Panel Cointegration (2005, background): “( 2004 ), the accommodation of such dependence has yet to become standard in the panel cointegration literature.”
Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004, unknown): “…the GVAR structure, by allowing for the existence of cointegrating relations between domestic and foreign variables, avoids the criticism of Banerjee, Marcellino, and Osbat (2002) of panel cointegration techniques advanced in the literature by Kao (1999), Pesaran et al. (1999), Pedroni…”
Alternative asymptotics for cointegration tests in large VARs (2016, background): “Banerjee, Marcellino, and Osbat (2004) emphasize the importance of testing for no cross-sectional cointegration in panel cointegration analysis (see Breitung and Pesaran (2008) and Choi (2015)), and the cross-sectional dimension of modern macroeconomic panels can easily be as large as forty.”
In search of FDI-led growth in developing countries (2008, methodology): “16 correction model (ECM) test initially proposed by Phillips (1954) and further developed, among others, by Banerjee et al. (1998), Pesaran et al. (2001), and Ericsson and MacKinnon (2002), and (iii) the system based cointegration approach of Johansen (1995). As noted in the beginning of this paper”
A Simple Panel-CADF Test for Unit Roots (2013, unknown): “However, it is well known (see e.g. O’Connell, 1998; Maddala and Wu, 1999; Banerjee et al., 2004, 2005; Gengenbach et al., 2006; Lyhagen, 2008; Wagner, 2008) that both short-term and long-run cross-section dependence adversely affects the performance of these panel unit roots tests.”
Unit Roots and Cointegration in Panels (2005, unknown): “Similar ndings are obtained by Bond et al. (2002). Hlouskova and Wagner (2005) compare a large number of rst generation panel unit root tests applied to processes with MA(1) errors. Not surprisingly, all tests are severely biased as the root of the MA process approaches unity. Overall, the tests o”
Energy consumption and economic growth: New insights into the cointegration relationship (2011, background): “Inappropriately assuming crosssectional independence can distort the panel results (see Banerjee et al. (2004), Urbain and Westerlund (2006)).”
Household Debt Sustainability: What Explains Household Non-Performing Loans? An Empirical Analysis (2006, unknown): “Moreover, according to Banerjee et al. (2004) the size of the distortion when N is small is relatively limited.”
How Does Foreign Direct Investment Really Affect Developing Countries' Growth? (2012, unknown): “…to falsely reject the null of no cointegration if there are cointegrating relations among the variables across the countries in the panel (see, e.g., Banerjee et al., 2004), we also tested for crosscountry cointegration in the GDP and the FDI series using the Johansen approach; we found no…”
Une synthèse des tests de racine unitaire sur données de panel (2005, unknown): “[9] Banerjee, A.”