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Testing for panel cointegration with a level break

  • Westerlund, Joakim

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File URL: http://www.sciencedirect.com/science/article/B6V84-4JJGB02-3/2/683c4ec6f31cd0420cbc1e17fa706a15
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 91 (2006)
Issue (Month): 1 (April)
Pages: 27-33

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Handle: RePEc:eee:ecolet:v:91:y:2006:i:1:p:27-33
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, vol. 90(1), pages 1-44, May.
  2. Pedroni, Peter, 2004. "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, vol. 20(03), pages 597-625, June.
  3. Gregory, A.W. & Hansen, B.E., 1992. "Residual-Based Tests for Cointegration in Models with Regime Shifts," RCER Working Papers 335, University of Rochester - Center for Economic Research (RCER).
  4. Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Department of Economics Working Papers 2000-02, Department of Economics, Williams College.
  5. Hao, K., 1996. "Testing for Structural Change in Cointegrated Regression Models: Some Comparisons and Generalizations," Monash Econometrics and Business Statistics Working Papers 3/96, Monash University, Department of Econometrics and Business Statistics.
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