Likelihood-Based Cointegration Tests in Heterogeneous Panels
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Other versions of this item:
- Rolf Larsson & Johan Lyhagen & Mickael Lothgren, 2001. "Likelihood-based cointegration tests in heterogeneous panels," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-41.
More about this item
KeywordsCointegration; Consumption; Monte Carlo simulations; Panel data; Rank test.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: 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
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- D12 - Microeconomics - - Household Behavior - - - Consumer Economics: Empirical Analysis
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-1998-09-07 (All new papers)
- NEP-ECM-1998-09-07 (Econometrics)
- NEP-ETS-1998-09-07 (Econometric Time Series)
- NEP-IFN-1998-09-07 (International Finance)
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