Testing for Panel Cointegration Using Common Correlated Effects Estimators

Cross-sectional averages versus principal components

(2015) Joakim Westerlund et al.   JOURNAL OF ECONOMETRICS

Testing Weak Cross-Sectional Dependence in Large Panels

(2014) M. Hashem Pesaran   Econometric Reviews

Panel unit root tests in the presence of a multifactor error structure

(2013) M. Hashem Pesaran et al.   JOURNAL OF ECONOMETRICS

Asymptotics for Panel Models with Common Shocks

(2012) Chihwa Kao et al.   Econometric Reviews

Weak and strong cross-section dependence and estimation of large panels

(2011) Alexander Chudik et al.   Econometrics Journal

A spatio-temporal model of house prices in the USA

(2010) Sean Holly et al.   JOURNAL OF ECONOMETRICS

Panels with non-stationary multifactor error structures

(2010) G. Kapetanios et al.   JOURNAL OF ECONOMETRICS

Least Squares Asymptotics in Spurious and Cointegrated Panel Regressions with Common and Idiosyncratic Stochastic Trends*

(2010) Jean-Pierre Urbain et al.   OXFORD BULLETIN OF ECONOMICS AND STATISTICS

Panel cointegration with global stochastic trends

(2008) Jushan Bai et al.   JOURNAL OF ECONOMETRICS