Panel Data Cointegration Testing with Structural Instabilities
研究了当时间序列存在截面依赖时，如何通过控制截面平均来处理多重结构突变，并设计了能容纳参数不稳定的个体和面板协整检验统计量。
Spurious regression analysis in panel data when the time series are cross-section dependent is analysed 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.