On the Estimation and Inference of a Panel Cointegration Model with Cross-Sectional Dependence

2005

170 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/d7881b363d3d6fcaf4388f17602d1fde1d6af647

Citations in the corpus

• Panel cointegration with global stochastic trends (2008, unknown): “wit as in ( 5 ), and define ¯ i similarly as in (6).”
• Natural resources abundance, economic globalization, and carbon emissions: Advancing sustainable development agenda (2021, unknown): “This study applied the DHGM cointegration method Westerlund and Edgerton (2008), and the long-term coefficients were calculated using the Cup-FM technique (Bai & Kao, 2006).”
• Unit Roots and Cointegration in Panels (2005, unknown): “Bai and Kao (2004) consider a factor structure of the errors as in (31).”
• A Spatio-Temporal Model of House Prices in the US (2010, unknown): “These include the tests proposed by Groen and Kleibergen (2003), Nelson, Ogaki, and Sul (2005),Westerlund (2005), Pedroni and Vogelsang, (2005), Chang (2005), and Bai and Kao (2006).”
• Cross-section dependence in nonstationary panel models: a novel estimator (2009, unknown): “Most recently Jushan Bai has introduced a number of estimators (Bai & Kao, 2006; Bai, Kao, & Ng, 2009; Bai, 2009) which are suggested to be robust to this setup and in further work we will establish how these fair from a practical point of view in direct comparison to the estimators investigated…”
• The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study (2009, unknown): “…factor models as developed in Bai and Ng (2004), an extension of FM-OLS estimation to panels with short-run cross-sectional correlation developed in Bai and Kao (2005), or Kapetanios, Pesaran, and Yamagata (2006) who consider the properties of so called common correlated effects (CCE) estimators…”