Residual based tests for cointegration in dependent panels
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DOI: 10.1016/j.jeconom.2011.09.032
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Citations
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Cited by:
- Hadri, Kaddour & Kurozumi, Eiji & Rao, Yao, 2013.
"Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed,"
Discussion Papers
2013-12, Graduate School of Economics, Hitotsubashi University.
- Kaddour Hadri & Eiji Kurozumi & Yao Rao, 2014. "Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed," Economics Working Papers 14-02, Queen's Management School, Queen's University Belfast.
- Francesca Iorio & Stefano Fachin, 2014.
"Savings and investments in the OECD: a panel cointegration study with a new bootstrap test,"
Empirical Economics,
Springer, vol. 46(4), pages 1271-1300, June.
- Francesca Di Iorio & Stefano Fachin, 2012. "Savings and Investments in the OECD: a panel cointegration study with a new bootstrap test," DSS Empirical Economics and Econometrics Working Papers Series 2012/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
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- Uwe Hassler & Mehdi Hosseinkouchack, 2016. "Panel Cointegration Testing in the Presence of Linear Time Trends," Econometrics, MDPI, Open Access Journal, vol. 4(4), pages 1-16, November.
- Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014.
"Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 35(5), pages 393-406, August.
- Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012. "IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62072, Verein für Socialpolitik / German Economic Association.
- Syed Basher & Stefano Fachin, 2012. "Investigating Long-Run Demand for Broad Money in the Gulf Arab Countries," DSS Empirical Economics and Econometrics Working Papers Series 2012/6, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- Francesca Di Iorio & Stefano Fachin, 2014. "Dealing with unobservable common trends in small samples: a panel cointegration approach," DSS Empirical Economics and Econometrics Working Papers Series 2014/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
More about this item
Keywords
Panel cointegration tests; Testing instruments; Nonstationary panel; Cross-sectional dependency;JEL classification:
- 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
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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