A0898
Title: Testing the null hypothesis of panel cointegration with common factors
Authors: Anindya Banerjee - University of Birmingham (United Kingdom)
Josep Lluis Carrion-i-Silvestre - Universitat de Barcelona (Spain) [presenting]
Abstract: The aim is to address testing the null hypothesis of panel cointegration with cross-section dependence driven by unobserved common factors. The use of the continuously updated estimator proposed in a prior study allows consistent estimation of the cointegrating vector, the common component, and the idiosyncratic component, which establishes the framework to propose a Lagrange multiplier statistic to test the cointegration assumption upon which these results rely.
