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Cointegration Testing in Panels with Common Factors*

Oxford Bulletin of Economics and Statistics, 2006
AbstractPanel unit‐root and no‐cointegration tests that rely on cross‐sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has, for example, been shown by Banerjee, Marcellino and Osbat [Econometrics Journal (2004), Vol. 7, pp. 322–340; Empirical Economics (2005), Vol. 30, pp. 77–91] via Monte
Gengenbach, C.   +2 more
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Inference in Panel Cointegration Models With Long Panels

Journal of Business & Economic Statistics, 2007
This article presents a general likelihood-based framework for inference in panel vector autoregressive (VAR) models with cointegration restrictions. The cointegrating relationships are restricted to each cross section while the rest of the model is unrestricted. The homogeneous restriction of common cointegrating space is also considered.
Larsson, Rolf, Lyhagen, Johan
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