Bandspectrum Cointegration
Economic theory commonly distinguishes between different time horizons such as the short run and the long run, each with its own relationships and its own dynamics. Engle (1974) proposed a bandspectrum regression to estimate such models. This paper proposes a new estimator for non-stationary panel data models, a bandspectrum cointegration estimator. The bandspectrum cointegration estimator uses fi