User’s Guide : Panel and Pooled Data : Panel Cointegration Estimation : References
  
References
Baltagi, Badi (2008). Econometric Analysis of Panel Data, New York: John Wiley & Sons.
Baltagi, Badi and Chihwa Kao (2000). “Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey,” in Baltagi, B. H. ed., Nonstationary Panels, Panel Cointegration and Dynamic Panels, 15, Amsterdam: Elsevier, 7–51.
Breitung, Jörg and M. Hashem Pesaran (2008). “Unit Roots and Cointegration in Panels,” in Mátyás, László and Patrick Sevestre, eds. The Econometrics of Panel Data, Berlin: Springer-Verlag Berlin Heidelberg.
Hansen, Bruce E. (1992). “Efficient Estimation and Testing of Cointegrating Vectors in the Presence of Deterministic Trends,” Journal of Econometrics, 53, 87-121.
Kao, Chihwa and Min-Hsien Chiang (2000). “On the Estimation and Inference of a Cointegrated Regression in Panel Data,” in Baltagi, B. H. et al. eds., Nonstationary Panels, Panel Cointegration and Dynamic Panels, 15, Amsterdam: Elsevier, 179–222.
Kao, Chihwa, Chiang, Min-Hsien, and Bangtian Chen (1999). “International R&D Spillovers: An Application of Estimation and Inference in Panel Cointegration, Oxford Bulletin of Economics and Statistics, 61, 693–711.
Mark, Nelson C. and Donggyu Sul (1999). “A Computationally Simple Cointegration Vector Estimator for Panel Data,” Ohio State University manuscript.
Mark, Nelson C. and Donggyu Sul (2003). “Cointegration Vector Estimation by Panel DOLS and Long-run Money Demand,” Oxford Bulletin of Economics and Statistics, 65, 655–680.
Pedroni, Peter (2000). “Fully Modified OLS for Heterogeneous Cointegrated Panels,” in Baltagi, B. H. ed., Nonstationary Panels, Panel Cointegration and Dynamic Panels, 15, Amsterdam: Elsevier, 93–130.
Pedroni, Peter (2001). “Purchasing Power Parity Tests in Cointegrated Panels,” The Review of Economics and Statistics, 83, 727–731.
Phillips, Peter C. B. and Bruce E. Hansen (1990). “Statistical Inference in Instrumental Variables Regression with I(1) Processes,” Review of Economics Studies, 57, 99-125.
Phillips, Peter C. B. and Hyungsik R. Moon (1999). “Linear Regression Limit Theory for Nonstationary Panel Data,” Econometrica, 67, 1057-1111.
Saikkonen, Pentti (1992). “Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation,” Econometric Theory, 8, 1-27.
Stock, James H. and Mark Watson (1993). “A Simple Estimator Of Cointegrating Vectors In Higher Order Integrated Systems,” Econometrica, 61, 783-820.