A Principal Components Approach to Cross-Section Dependence in Panels



References

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[2] Bai, J. and S. Ng (2001b) A PANIC Attack on Unit Roots and Cointe-
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[3] Bai, J. and S. Ng (2002) Determining the Number of Factors in Approx-
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[4] Baltagi, B.H. and Kao, C.W. (2000) Nonstationary Panels, Cointegra-
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[5] Banerjee, A., M. Marcellino and C. Osbat (2001) Testing for PPP:
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[6] Coakley, J., A. M. Fuertes and Smith, R. (2001) Small Sample Proper-
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[7] Hall, S., Lazarova, S. and G. Urga (1999) A Principal Components Anal-
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[8] Moon, H. R. and B. Perron (2001) Testing for a Unit Root in Panels
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[9] O’Connell, P.J.G. (1998) The Overvaluation of Purchasing Power Parity.
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[10] Pedroni, P. (1997) Cross Sectional Dependence in Cointegration Tests
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[11] Pesaran, M.H. and R. Smith (1995) Estimating Long-Run Relationships
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[12] Phillips, P.C.B., and H.R. Moon (1999) Linear regression theory for
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