Palgrave Handbook of Econometrics: Applied Econometrics

13 Panel Methods to Test for Unit Roots and Cointegration Anindya Banerjee and Martin Wagner Abstract We provide an up-to-date a ...

Anindya Banerjee and Martin Wagner 633 13.2.3 Relaxing structural stability – Bai and Carrion-i-Silvestre (2007) 663 13.2.3.1 Br ...

634 Panel Methods to Test for Unit Roots and Cointegration Finally, the Industry Growth Accounting Database provides information ...

Anindya Banerjee and Martin Wagner 635 that lim j→∞ E ( yi,t+j−at ) =μifor alli=1,...,N. Then the economies are said to converge ...

636 Panel Methods to Test for Unit Roots and Cointegration series from the cross-sectional average are stationary, that is, any ...

Anindya Banerjee and Martin Wagner 637 would not need to resort to panel techniques. However, this is typically not the case and ...

638 Panel Methods to Test for Unit Roots and Cointegration Clearly, if the panel is characterized by several independent stochas ...

Anindya Banerjee and Martin Wagner 639 Note, furthermore, that for many empirical applications it may be necessary to also allow ...

640 Panel Methods to Test for Unit Roots and Cointegration 13.2 Unit root analysis in non-stationary panels In order to highligh ...

Anindya Banerjee and Martin Wagner 641 ranks ofC(1) the processFtis a cointegratedI(1) process with the corresponding number of ...

642 Panel Methods to Test for Unit Roots and Cointegration denote the date of thejth break in the intercept and thekth break in ...

Anindya Banerjee and Martin Wagner 643 in Appendix B the implications of correlation in the variablesei,t, which also can lead t ...

644 Panel Methods to Test for Unit Roots and Cointegration ensure consistency of estimation by choosing the lag lengths in order ...

Anindya Banerjee and Martin Wagner 645 be re-centered and re-normalized for convergence to a well-behaved distribution. Therefor ...

646 Panel Methods to Test for Unit Roots and Cointegration where individual specific serial correlation structures are allowed i ...

Anindya Banerjee and Martin Wagner 647 non-asymptotic values ofT)is therefore restricted to balanced panels and equal lag length ...

648 Panel Methods to Test for Unit Roots and Cointegration where: σˆu^2 ,i= 1 T ∑T t= 1 uˆ^2 i,t. Under the null, using sequenti ...

Anindya Banerjee and Martin Wagner 649 relative toN, the size and power properties of panel tests are affected adversely. The pr ...

650 Panel Methods to Test for Unit Roots and Cointegration research is the main motivation for this section, with a view to desc ...

Anindya Banerjee and Martin Wagner 651 equal to the correlation, matrix given by: = ⎛ ⎜⎜ ⎜ ⎜⎜ ⎝  0 ... 0 0  .. . .. . .. . .. ...