Testing for Multicointegration in Panel Data with Common Factors*
在面板数据框架下研究多重协整概念，扩展了Pedroni的面板协整方法，处理混合I(2)和I(1)过程及截面依赖问题，并通过蒙特卡洛模拟和行业数据示例展示应用。
Abstract This paper addresses the concept of multicointegration in a panel data framework and builds upon the panel data cointegration procedures developed in Pedroni [ Econometric Theory (2004), Vol. 20, pp. 597–625]. When individuals are either cross‐section independent, or cross‐section dependence can be removed by cross‐section demeaning, our approach can be applied to the wider framework of mixed I (2) and I (1) stochastic processes. The paper also deals with the issue of cross‐section dependence using approximate common‐factor models. Finite sample performance is investigated through Monte Carlo simulations. Finally, we illustrate the use of the procedure investigating an inventories, sales and production relationship for a panel of US industries.