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Panel Data Unit Roots and Cointegration: An Overview
Author(s) -
Banerjee Anindya
Publication year - 1999
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/1468-0084.0610s1607
Subject(s) - cointegration , unit root , economics , unit (ring theory) , econometrics , mathematics , mathematics education
Recent developments in the field of the econometrics of panel data with non‐stationary series are reviewed and interpreted. In particular, we discuss tests for unit roots and cointegration, and the roles of mean and variance correction, non‐parametric correction and full modification for the construction of these tests and estimators. A discussion of the key contributions of the papers in this special issue is placed within the framework of the current literature and areas for further development are proposed.