This Masterclass with Professor Anindya Banerjee is part of the RES Doctoral Training Programme.
The session will provide some thoughts on the methods developed in the literature on dealing with cross section dependence in panels in studying integration and cointegration. In particular it will an assessment and comparison of methods that rely primarily on the methodology developed by Bai and Ng versus the cross-sectional augmentation approach pioneered and recommended by Pesaran inter alia. The asymptotic theory underlying the tests will be discussed and the arguments will be illustrated via simulation results and empirical examples.
Professor Anindya Banerjee is currently Head of the Department of Economics in the Birmingham Business School. He joined the department in January 2008 as Professor in Economics. Before coming to Birmingham he was Professor at the European University Institute in Florence and Fellow of Wadham College, Oxford. Professor Banerjee received his Ph.D. from the University of Oxford. His interests lie in time series econometrics, including factor models, and the econometrics of integrated panel data. A link to his research portal is available here: https://research.birmingham.ac.uk/en/persons/anindya-banerjee
In all the RES DTP sessions there is an opportunity to ask the presenters questions.
