Automated Author Profile

Banerjee, Anindya

Current S-Index

1.6

Sum of Dataset Indices for all datasets

Average Dataset Index per Dataset

0.5

Average Dataset Index per dataset

Total Datasets

3

Total datasets for this author

Average FAIR Score

13.5%

Average FAIR Score per dataset

Total Citations

2

Total citations to the author's datasets

Total Mentions

0

Total mentions of the author's datasets

S-Index Interpretation

S-Index Over Time

Cumulative Citations Over Time

Cumulative Mentions Over Time

Datasets

Panel Data Cointegration Testing with Structural Instabilities

Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the article. The set-up includes (possibly unknown) multiple structural breaks that can affect both the deterministic and the common factor components. We show that consistent estimation of the long-run average parameter is possible once cross-section dependence is controlled using cross-section averages in the spirit of Pesaran’s common correlated effects approach. This result is used to design individual and panel cointegration test statistics that accommodate the presence of structural breaks that can induce parameter instabilities in the deterministic component, the cointegration vector and the common factor loadings.

Authors

  • Banerjee, Anindya ;
  • Carrion-i-Silvestre, Josep Lluís
0 Citations0 Mentions13% FAIR0.3 Dataset Index
10.6084/m9.figshare.25365593January 2024

Panel data cointegration testing with structural instabilities

Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the paper. The set-up includes (possibly unknown) multiple structural breaks that can affect both the deterministic and the common factor components. We show that consistent estimation of the long-run average parameter is possible once cross-section dependence is controlled using cross-section averages in the spirit of Pesaran’s common correlated effects approach. This result is used to design individual and panel cointegration test statistics that accommodate the presence of structural breaks that can induce parameter instabilities in the deterministic component, the cointegration vector and the common factor loadings.

Authors

  • Banerjee, Anindya ;
  • Carrion-i-Silvestre, Josep Lluís
1 Citation0 Mentions13% FAIR0.7 Dataset Index
10.6084/m9.figshare.25365593.v1January 2024

Panel Data Cointegration Testing with Structural Instabilities

Spurious regression analysis in panel data when the time series are cross-section dependent is analyzed in the article. The set-up includes (possibly unknown) multiple structural breaks that can affect both the deterministic and the common factor components. We show that consistent estimation of the long-run average parameter is possible once cross-section dependence is controlled using cross-section averages in the spirit of Pesaran’s common correlated effects approach. This result is used to design individual and panel cointegration test statistics that accommodate the presence of structural breaks that can induce parameter instabilities in the deterministic component, the cointegration vector and the common factor loadings.

Authors

  • Banerjee, Anindya ;
  • Carrion-i-Silvestre, Josep Lluís
1 Citation0 Mentions13% FAIR0.7 Dataset Index
10.6084/m9.figshare.25365593.v2January 2024