Testing for Panel Cointegration in an Error Correction Framework - with an Application to the Fisher Hypothesis
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Evans, Martin D D & Lewis, Karen K, 1995.
"Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?,"
Journal of Finance, American Finance Association, vol. 50(1), pages 225-253, March.
- Martin D.D. Evans & Karen K. Lewis, 1993. "Do Expected Shifts in Inflation Affect Estimates of the Long-Run Fisher Relation?," Working Papers 93-06, New York University, Leonard N. Stern School of Business, Department of Economics.
- Rose, Andrew Kenan, 1988. " Is the Real Interest Rate Stable?," Journal of Finance, American Finance Association, vol. 43(5), pages 1095-1112, December.
- Joakim Westerlund, 2008.
"Panel cointegration tests of the Fisher effect,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
- Westerlund, J., 2006. "Panel cointegration tests of the Fisher effect," Research Memorandum 054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Frank J. Atkins & Apostolos Serletis, 2003. "Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low‐Frequency International Data," Manchester School, University of Manchester, vol. 71(6), pages 673-679, December.
- Koustas, Zisimos & Serletis, Apostolos, 1999.
"On the Fisher effect,"
Journal of Monetary Economics, Elsevier, vol. 44(1), pages 105-130, August.
- Koustas, Z., Serletis, A., 1998. "On the Fisher Effect," Papers 98-09, Calgary - Department of Economics.
- Athina Kanioura & Paul Turner, 2005. "Critical values for an F-test for cointegration in a multivariate model," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 265-270.
- Jushan Bai & Serena Ng, 2004.
"A PANIC Attack on Unit Roots and Cointegration,"
Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
- Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics.
- Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive 469, The Johns Hopkins University,Department of Economics.
- M. Hashem Pesaran, 2007.
"A simple panel unit root test in the presence of cross-section dependence,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
- repec:clg:wpaper:1998-09 is not listed on IDEAS
- Peter C. B. Phillips & Donggyu Sul, 2003. "Dynamic panel estimation and homogeneity testing under cross section dependence *," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 217-259, June.
- Zivot, Eric, 1994. "A Bayesian Analysis Of The Unit Root Hypothesis Within An Unobserved Components Model," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 552-578, August.
- Crowder, William J & Hoffman, Dennis L, 1996. "The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 102-118, February.
- Noor Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 763-769.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Carl Bonham, 1990.
"Correct Cointegration Tests of the Long Run Relationship Between Nominal Interest and Inflation,"
Working Papers
199026, University of Hawaii at Manoa, Department of Economics.
- Carl Bonham, 1991. "Correct Cointegration Tests of the Long Run Relationship Between Nominal Interest and Inflation," Working Papers 199104, University of Hawaii at Manoa, Department of Economics.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root,"
Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
- Tom Doan, "undated". "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- Tom Doan, "undated". "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Steven Cook, 2006. "The power of single equation tests for cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 13(5), pages 265-267.
- 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.
- Larsson, Rolf & Lyhagen, Johan & Löthgren, Mickael, 1998. "Likelihood-Based Cointegration Tests in Heterogeneous Panels," SSE/EFI Working Paper Series in Economics and Finance 250, Stockholm School of Economics, revised 27 Aug 1998.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Joakim Westerlund, 2008.
"Panel cointegration tests of the Fisher effect,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
- Westerlund, J., 2006. "Panel cointegration tests of the Fisher effect," Research Memorandum 054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Everaert, Gerdie, 2014.
"A panel analysis of the fisher effect with an unobserved I(1) world real interest rate,"
Economic Modelling, Elsevier, vol. 41(C), pages 198-210.
- G. Everaert, 2012. "A Panel Analysis of the Fisher Effect with an Unobserved I(1) World Real Interest Rate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/782, Ghent University, Faculty of Economics and Business Administration.
- Beyer, Andreas & Dewald, William G. & Haug, Alfred A., 2009. "Structural breaks, cointegration and the Fisher effect," Working Paper Series 1013, European Central Bank.
- Jesús Clemente & María Dolores Gadea & Antonio Montañés & Marcelo Reyes, 2017.
"Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries,"
Econometrics, MDPI, vol. 5(1), pages 1-17, February.
- Jesus Clemente & Antonio Montañes & Marcelo Reyes, 2004. "Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries," Econometrics 0401005, University Library of Munich, Germany.
- Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
- Piotr Krajewski & Michał Mackiewicz & Agata Szymańska, 2016. "Fiscal Sustainability in Central and Eastern European Countries - A Post-Crisis Assessment," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(2), pages 175-188.
- R. Santos Alimi, 2014. "ARDL Bounds Testing Approach to Cointegration: A Re-Examination of Augmented Fisher Hypothesis in an Open Economy," Asian Journal of Economic Modelling, Asian Economic and Social Society, vol. 2(2), pages 103-114, June.
- Christopher J. Neely & David E. Rapach, 2008.
"Real interest rate persistence: evidence and implications,"
Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
- Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
- Panopoulou, Ekaterini & Pantelidis, Theologos, 2016. "The Fisher effect in the presence of time-varying coefficients," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 495-511.
- Güzin Bayar, 2022. "Turkey's sectoral exports: A competitiveness approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2268-2289, April.
- Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2020. "The Behavior of Real Interest Rates: New Evidence from a ``Suprasecular" Perspective," Working Papers 202093, University of Pretoria, Department of Economics.
- Haug Alfred A & Beyer Andreas & Dewald William, 2011. "Structural Breaks and the Fisher Effect," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-31, May.
- Borja Balparda & Guglielmo Maria Caporale & Luis Alberiko Gil-Alana, 2017. "The fisher relationship in Nigeria," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(2), pages 343-353, April.
- Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006-04, Christian-Albrechts-University of Kiel, Department of Economics.
- Bosupeng, Mpho & Biza-Khupe, Simangaliso, 2015. "The Impact of Money Supply Volatility on the Fisher Effect –A Botswana Empirical Perspective," MPRA Paper 77920, University Library of Munich, Germany, revised 2015.
- Ekaterini Panopoulou, 2005.
"A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators,"
Money Macro and Finance (MMF) Research Group Conference 2005
18, Money Macro and Finance Research Group.
- E.Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Economics Department Working Paper Series n1500205, Department of Economics, National University of Ireland - Maynooth.
- Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," The Institute for International Integration Studies Discussion Paper Series iiisdp067, IIIS.
- Christoph Hanck, 2013. "An Intersection Test for Panel Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 183-203, February.
- Kristofer Månsson & Ghazi Shukur & Pär Sjölander, 2013.
"Testing for panel unit roots in the presence of spatial dependency,"
Applied Economics, Taylor & Francis Journals, vol. 45(29), pages 4152-4159, October.
- Månsson, Kristofer & Shukur, Ghazi & Sjölander, Pär, 2012. "Testing for Panel Unit Roots in the Presence of Spatial Dependency," HUI Working Papers 71, HUI Research.
- Harun UCAK & Ilhan OZTURK & Alper ASLAN, 2014. "An Examination of Fisher Effect for Selected New EU Member States," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 956-959.
- Valérie Mignon & Christophe Hurlin, 2005.
"Une synthèse des tests de racine unitaire sur données de panel,"
Économie et Prévision, Programme National Persée, vol. 169(3), pages 253-294.
- Christophe Hurlin & Valérie Mignon, 2005. "Une synthèse des tests de racine unitaire sur données de panel," Economie & Prévision, La Documentation Française, vol. 0(3), pages 253-294.
- Christophe Hurlin & V. Mignon, 2005. "Une Synthèse des Tests de Racine Unitaire en sur Données de Panel," Post-Print halshs-00257324, HAL.
- Christophe Hurlin & Valérie Mignon, 2006. "Une Synthèse des Tests de Racine Unitaire sur Données de Panel," Post-Print halshs-00078770, HAL.
More about this item
Keywords
Panel Cointegration; Error Correction; Fisher Hypothesis; Multivariate Tests; Size and Power;All these keywords.
JEL classification:
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:huiwps:0072. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Hans Seerar Westerberg (email available below). General contact details of provider: https://edirc.repec.org/data/huistse.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.