MC:Investigating (co)-integration in panels with cross section dependence ​

This event is part of the RES Doctoral Training ProgrammeThis Masterclass with Professor Anindya Banerjee is part of the RES Doctoral Training Programme.Panel data methods have in recent years become the focus of research in the testing for unit roots and cointegration, with the ‘panel’ referring to the combining of a time-series with a cross-section dimension where both T and N are ‘large’ in the sense required for the asymptotic theory needed for the theoretical derivations to work.The masterclass will provide a broad overview of the methods used, starting with the early testing strategies adopted and bringing the audience up to date with the literature on this topic. A key issue to be discussed is the way in which cross-section dependence across the units of the panel is handled, within the two dominant paradigms of cross-section augmented testing (Pesaran) versus the use of principal components (Bai and Ng).Professor Anindya Banerjee is Professor of Econometrics in 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-banerjeeThe session will be chaired by Prof Dennis Kristensen (UCL).