Abstract
This chapter discusses the challenges that shape panel cointegration techniques, with an emphasis on the challenge of maintaining the robustness of cointegration methods when temporal dependencies interact with both cross-sectional heterogeneities and dependencies. It also discusses some of the open challenges that lie ahead, including the challenge of generalizing to nonlinear and time varying cointegrating relationships. The chapter is written in a nontechnical style that is intended to be accessible to nonspecialists, with an emphasis on conveying the underlying concepts and intuition.
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