Anindya Banerjee and Martin Wagner 63313.2.3 Relaxing structural stability – Bai and Carrion-i-Silvestre
(2007) 663
13.2.3.1 Break dates known 664
13.2.3.2 Break dates unknown 667
13.2.4 Two empirical examples 668
13.2.4.1 Purchasing power parity 668
13.2.4.2 The environmental Kuznets curve 673
13.2.5 Some concluding remarks 676
13.3 Cointegration analysis in non-stationary panels 678
13.3.1 Single equation analysis of cointegration 679
13.3.1.1 Testing for the null hypothesis of no cointegration – Pedroni
(1999, 2004) 681
13.3.1.2 Some general remarks 683
13.3.1.3 Allowing for structural breaks in the Pedroni tests 684
13.3.1.4 Allowing for cross-sectional dependence 688
13.3.1.5 Empirical illustration with exchange rate pass-through in the
euro-area 692
13.3.1.6 Single equation estimation of the cointegrating vector 698
13.3.2 Testing for cointegration and estimation of the cointegrating vectors in
systems 701
13.3.3 Larsson, Lyhagen and Löthgren (2001) 703
13.3.4 Breitung (2005) 704
13.3.5 The environmental Kuznets curve analysis continued 707
13.4 Conclusions 709
13.5 Appendix A: Datasets employed 709
13.6 Appendix B: Cross-sectional dependence 712
13.7 Appendix C: Limiting concepts for integrated panels 717
13.1 Introduction
Taking a look at the web page of the Groningen Growth Development Centre
(http://www.ggdc.net) is a salutary experience. The Centre is devoted to the “com-
parative analysis of levels of economic performance and differences in growth rates
in the world,” both in the short and long durée, and the data resources it brings to
this analysis are formidable.
Here in its pages are data for population, employment, annual working hours,
gross domestic product (GDP) per capita, GDP per person engaged, and GDP per
hour, for nearly 125 countries from 1950 onwards. Many of these series utilize
the Maddison (2007) historical series, which can also be used to go back to the
nineteenth century and in some cases even further into the past.
The 60-Industry Database provides an equally comprehensive dataset on indus-
trial performance. The coverage is at a detailed industry level for Organization for
Economic Cooperation and Development (OECD) countries and Taiwan, and the
variables studied include: value added in current and constant prices, value added
deflators, persons engaged, hours worked and labor productivity. The data cover
industries for the period 1979–2003.