A Bootstrap Cointegration Rank Test for Panels of VAR Models
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- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-12-11 (All new papers)
- NEP-ECM-2010-12-11 (Econometrics)
- NEP-ETS-2010-12-11 (Econometric Time Series)
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