A Bootstrap Cointegration Rank Test for Panels of VAR Models
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- repec:taf:emetrv:v:37:y:2018:i:10:p:1033-1050 is not listed on IDEAS
- Antonia Arsova & Deniz Dilan Karaman Örsal, 2018.
"Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence,"
Taylor & Francis Journals, vol. 37(10), pages 1033-1050, November.
- Antonia Arsova & Deniz Dilan Karaman Oersal, 2013. "Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence," Working Paper Series in Economics 280, University of Lüneburg, Institute of Economics.
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KeywordsRank test; Panel data; Cointegration; Bootstrap; Cross section dependence.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
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