Alternative representations for cointegrated panels with global stochastic trends

In this paper, we consider a cointegrated panel data model with non-stationary common factors, which, because of its appeal in many economic applications, has received much attention in the recent literature. By deriving a Granger-type representation theorem, we obtain several equivalent model formulations, which have differing merits for empirical work.

► The paper considers a cointegrated panel data model with non-stationary common factors. ► The paper derives a Granger-type representation theorem that provides several alternative equivalent model formulations. ► The paper discusses how these different representations are related to existing work. ► The paper discusses the merits of these different representations.