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Nonlinear error correction based cointegration test in panel data

Author

Listed:
  • Omay, Tolga
  • Emirmahmutoglu, Furkan
  • Denaux, Zulal S.

Abstract

We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties.

Suggested Citation

  • Omay, Tolga & Emirmahmutoglu, Furkan & Denaux, Zulal S., 2017. "Nonlinear error correction based cointegration test in panel data," Economics Letters, Elsevier, vol. 157(C), pages 1-4.
    • Handle: RePEc:eee:ecolet:v:157:y:2017:i:c:p:1-4
    DOI: 10.1016/j.econlet.2017.05.017
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    References listed on IDEAS

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    1. Kremers, Jeroen J M & Ericsson, Neil R & Dolado, Juan J, 1992. "The Power of Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 325-348, August.
    2. Joakim Westerlund, 2007. "Testing for Error Correction in Panel Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 709-748, December.
    3. Ucar, Nuri & Omay, Tolga, 2009. "Testing for unit root in nonlinear heterogeneous panels," Economics Letters, Elsevier, vol. 104(1), pages 5-8, July.
    4. Omay, Tolga & Hasanov, Mübariz & Uçar, Nuri, 2014. "Energy consumption and economic growth: Evidence from nonlinear panel cointegration and causality tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 34(2), pages 36-55.
    5. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2010. "A Sieve Bootstrap Test For Cointegration In A Conditional Error Correction Model," Econometric Theory, Cambridge University Press, vol. 26(3), pages 647-681, June.
      • Arnold Zellner & Franz C. Palm, 2000. "Correction," Econometrica, Econometric Society, vol. 68(5), pages 1293-1294, September.
    6. Abadir, Karim M. & Distaso, Walter, 2007. "Testing joint hypotheses when one of the alternatives is one-sided," Journal of Econometrics, Elsevier, vol. 140(2), pages 695-718, October.
    7. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2006. "Testing For Cointegration In Nonlinear Smooth Transition Error Correction Models," Econometric Theory, Cambridge University Press, vol. 22(2), pages 279-303, April.
    8. Chang, Yoosoon & Nguyen, Chi Mai, 2012. "Residual based tests for cointegration in dependent panels," Journal of Econometrics, Elsevier, vol. 167(2), pages 504-520.
    9. Saikkonen, Pentti, 1991. "Asymptotically Efficient Estimation of Cointegration Regressions," Econometric Theory, Cambridge University Press, vol. 7(1), pages 1-21, March.
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    Citations

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    Cited by:

    1. Tolga Omay & Perihan Iren, 2023. "Controlling Heterogeneous Structure of Smooth Breaks in Panel Unit Root and Cointegration Testing," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 233-265, January.
    2. Koç, Pınar & Gülmez, Ahmet, 2021. "Analysis of relationships between nanotechnology applications, mineral saving and ecological footprint: Evidence from panel fourier cointegration and causality tests," Resources Policy, Elsevier, vol. 74(C).

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    More about this item

    Keywords

    Nonlinear error correction model; Sieve bootstrap; Modified Wald test; Cross section dependency;
    All these keywords.

    JEL classification:

    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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