Cointegration analysis for cross-sectionally dependent panels: The case of regional production functions

Costantini, Mauro; Destefanis, Sergio

doi:10.1016/j.econmod.2008.07.014

Cited by 25 publications

(19 citation statements)

References 27 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…2 In this paper we consider the case where the common factors are allowed to be correlated with the stochastic regressors. Westerlund (2007) estimates a panel model based on the forward rate unbiasedness hypothesis and Costantini and Destefanis (2009) estimate the Italian regional production functions, using the approach in Bai and Kao (2006). Not only do we want to control for cross-sectional correlation, but also we want to determine if the unobserved component F t is integrated.…”

Section: Introductionmentioning

confidence: 99%

Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors

Bai

Carrion‐i‐Silvestre

2013

The Econometrics Journal

View full text Add to dashboard Cite

The paper proposes statistics to test the null hypothesis of no cointegration in panel data when common factors drive the cross-sectional dependence. We focus on the case in which regressors and the common factors are correlated, although the uncorrelated case is also discussed. Both endogenous and strictly exogenous regressors are considered. The test statistics are shown to have limiting distributions independent of the common factors, making it possible to pool the individual statistics. Simulations indicate that the proposed procedures have good finite sample performance. JournalThe Econometrics Panel cointegration with common factors correlated with regressors

show abstract

Section: Introductionmentioning

confidence: 99%

Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors

Bai

Carrion‐i‐Silvestre

2013

The Econometrics Journal

View full text Add to dashboard Cite

show abstract

“…Common factor specifications for TFP, similar to equation (3), can also be found in Costantini and Destefanis (2009) and Eberhardt and Teal (2013). The main difference is that we allow for time-varying factor loadings λ it to capture shifts in a country's access to worldwide technology.…”

Section: Aggregate Production Function and Modeling Tfpmentioning

confidence: 99%

Fiscal policy and TFP in the OECD: measuring direct and indirect effects

2014

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Statement of purpose:The purpose of these working papers is to promote the circulation of research results (Research Series) and analytical studies (Documents Series) made within the National Bank of Belgium or presented by external economists in seminars, conferences and conventions organised by the Bank. The aim is therefore to provide a platform for discussion. The opinions expressed are strictly those of the authors and do not necessarily reflect the views of the National Bank of Belgium. JEL classification: C31, C33, E62, O38 Orders

show abstract

“…Costantini and De Stefanis (2009) recently applied the PANIC technique to Italian regional panel data which share many features in common with the data utilized in our empirical analysis. The authors find that a limited number of common factors underlie the dynamics of the regional series of GDP and other private sector aggregates.…”

Section: The Methodological Approachmentioning

confidence: 99%

Network effects of public transport infrastructure: Evidence on Italian regions

Giacinto¹,

Micucci²,

Montanaro³

2012

Papers in Regional Science

View full text Add to dashboard Cite

In this paper we contribute to the empirical literature on the size of network effects of public infrastructures. A novel approach is introduced to this purpose. Moving from estimates of the common dynamics shared by the regional public capital stock series, identification of co‐ordinated policy shocks is obtained within a properly specified structural vector error correction model. Our empirical findings confirm previous evidence that transport infrastructures exert positive effects in the long run. At the same time, we find evidence that this influence is mostly attributable to the impact of co‐ordinated public policy shocks, as predicted by the literature on network externalities. Resumen En este artículo contribuimos a la literatura empírica sobre el tamaño de los efectos de red de infraestructuras públicas. Para este propósito se presenta un enfoque novedoso. A partir de estimaciones de las dinámicas comunes compartidas por series de reservas de capital público regional, la identificación de perturbaciones políticas se realiza dentro de un modelo de corrección del error vectorial estructural debidamente especificado. Nuestros descubrimientos empíricos confirman indicios anteriores de que las infraestructuras de transporte ejercen efectos positivos a largo plazo. A la vez, hallamos pruebas de que esta influencia es atribuible principalmente al impacto de perturbaciones en las políticas públicas coordinadas, tal y como predice la literatura sobre externalidades de red.

show abstract

Cointegration analysis for cross-sectionally dependent panels: The case of regional production functions

Cited by 25 publications

References 27 publications

Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors

Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors

Fiscal policy and TFP in the OECD: measuring direct and indirect effects

Network effects of public transport infrastructure: Evidence on Italian regions

Contact Info

Product

Resources

About