2026-04-17T03:50:38Zhttps://recercat.cat/oai/requestoai:recercat.cat:2445/2178062025-12-05T05:53:41Zcom_2072_1057col_2072_478808col_2072_478917
RECERCAT
author
Banerjee, Anindya
author
Carrión i Silvestre, Josep Lluís
2025-01-22T09:09:27Z2025-01-22T09:09:27Z2025-12-012025-01-22T09:09:27Z
Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. The set-up includes (possibly unknown) multiple structural breaks that can affect both the deterministic and the common factor components. We show that consistent estimation of the long-run average parameter is possible once cross-section dependence is controlled using cross-section averages in the spirit of Pesaran's common correlated effects approach. This result is used to design individual and panel cointegration test statistics that accommodate the presence of structural breaks that can induce parameter instabilities in the deterministic component, the cointegration vector and the common factor loadings.
(c) Taylor & Francis, 2025 http://creativecommons.org/licenses/by-nc-nd/3.0/es/ info:eu-repo/semantics/openAccess
Anàlisi de regressió
Anàlisi de sèries temporals
Anàlisi de dades de panel
Regression analysis
Time-series analysis
Panel analysis
Panel Data Cointegration Testing with Structural Instabilities
info:eu-repo/semantics/article info:eu-repo/semantics/acceptedVersion