Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey

By Badi H. Baltagi, C. Kao. 2001

600 citations recorded by the source corpus.

This chapter provides an overview of topics in nonstationary panels: panel unit root tests, panel cointegration tests, and estimation of panel cointegration models. In addition it surveys recent developments in dynamic panel data models.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8fa0d14fe0ea4f9747a596d3c99cf6a06bfdbef7

Citations in the corpus

• Modelling income processes with lots of heterogeneity (2010, unknown): “2This is also true of the large T , large N panel data literature on unit roots which always tests between everyone having a unit and no one having a unit root, see Baltagi and Kao (2000) for a survey.”
• Gravity models in integrated panels (2009, unknown): “Correspondingly, panel cointegration is used generally in analysis of macroeconomic data (see Baltagi and Kao 2000, for a survey of applications).”
• Testing the monetary model of exchange rate determination: a closer look at panels (2004, unknown): “See Banerjee (1999) and Baltagi and Kao (2000) for surveys of panel unit root and cointegration tests. (15)A type of super-consistency also obtains for the LSDV estimator. Kao and Chiang (2000) use the sequential limit theory of Phillips and Moon (1999) in which T →∞ followed by N →∞.”
• Estimating cross-section common stochastic trends in nonstationary panel data (2004, unknown): “For a recent survey on panel unit roots and cointegration, the readers are referred to Baltagi and Kao (2000). The present paper builds on the work of Bai and Ng (2002) and Bai (2003), where large-dimension factor models of I(0) variables were analyzed. This paper makes a contribution to statistical”
• Cointegration in Panel Data with Breaks and Cross-Section Dependence (2006, unknown): “As a result, new statistics to assess the stochastic properties of panel data sets have appeared in the literature see Banerjee (1999), Baltagi and Kao (2000), and Baltagi (2005) for an overview of the eld.”
• Are shocks to energy consumption permanent or temporary? Evidence from 182 countries (2007, unknown): “Several panel data unit root tests have been developed to exploit the extra power in the panel properties of the data (see Baltagi and Kao, 2000 for a review). These include the Levin et al (2002) test, Feasible Generalized Least Squares (FGLS) (O’Connell, 1998) and the t-bar test proposed by Im et ”
• A Principal Components Approach to Cross-Section Dependence in Panels (2002, unknown): “In addition, many theoretical panel results have been derived under the assumption of cross section independence ( Baltagi and Kao 2000; Phillips and Moon 2000).”
• Government Expenditure and Economic Growth in the EU: Long-Run Tendencies and Short-Term Adjustment (2008, unknown): “…See, for instance the results from the meta-analysis on empirical work aimed at testing the impact of government activity on growth by Nijkamp and Poot (2004). to the whole panel rather than to each time series separately (see, e.g., Baltagi and Kao (2000), Phillips and Moon (2000), Smith (2000)).”
• Panel cointegration with global stochastic trends (2008, unknown): “2 See, for example, Phillips and Moon (1999) and Kao (1999). Recent surveys can be found in Baltagi and Kao (2000) and Breitung and Pesaran (2005).”
• Panel Unit Root Tests in the Presence of Cross-Sectional Dependence: Finite Sample Performance and an Application (2009, unknown): “cross-sectional dimension. Banerjee (1999), Baltagi and Kao (2000) , Baltagi (2001) and more recently”
• Breaking the panels: An application to the GDP per capita (2005, unknown): “Thus, the evidence in favour of non-stationarity is weakened when the occurrence of structural breaks is allowed (see Perron, 1989,1994; Banerjee et al. (1992), Zivot and Andrews (1992), Ben David and Papell (1995, 1998); Ben-David et al.”
• Testing for unit roots in heterogeneous panels (2003, unknown): “A review of this literature is provided in Baltagi and Kao (2000) .”