Spatial and Spatio-temporal Engle-Granger representations, Networks and Common Correlated Effects
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Authors
Bhattacharjee, A.
Ditzen, J.
Holly, S.
Abstract
We provide a way of representing spatial and temporal equilibria in terms of a Engle-Granger representation theorem in a panel setting. We use the mean group, common correlated effects estimator plus multiple testing to provide a set of weakly cross corre
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Keywords
Spatio-temporal Engle-Granger Theorems, cross sectional dependence
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Faculty of Economics, University of Cambridge