TY  - CHAP
AB  - In this chapter we extend the concept of serial correlation common features to panel data models. This analysis is motivated both by the need to develop a methodology to systematically study and test for common structures and comovements in panel data with autocorrelation present and by an increase in efficiency coming from pooling procedures. We propose sequential testing procedures and study their properties in a small scale Monte Carlo analysis. Finally, we apply the framework to the well known permanent income hypothesis for 22 OECD countries, 1950–1992.
VL  - 15
SN  - 978-1-84950-065-4, 978-0-76230-688-6/0731-9053
DO  - 10.1016/S0731-9053(00)15005-4
UR  - https://doi.org/10.1016/S0731-9053(00)15005-4
AU  - Hecq Alain
AU  - Palm Franz C.
AU  - Urbain Jean-Pierre
ED  - Badi H. Baltagi
ED  - Thomas B. Fomby
ED  - R. Carter Hill
PY  - 2001
Y1  - 2001/01/01
TI  - Testing for common cyclical features in nonstationary panel data models
T2  - Nonstationary Panels, Panel Cointegration, and Dynamic Panels
T3  - Advances in Econometrics
PB  - Emerald Group Publishing Limited
SP  - 131
EP  - 160
Y2  - 2024/04/25
ER  -