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date: 24 February 2020

Abstract and Keywords

This chapter surveys the literature on panel cointegration. It starts by discussing cointegrating panel regressions for both cross-sectionally independent and correlated panels. It then introduces three groups of tests for panel cointegration: residual-based tests for the null of noncointegration, residual-based tests for the null of cointegration, and tests based on vector autoregression.

Keywords: Keywords: panel data, panel cointegration, panel regressions, independent panels, correlated panels

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