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Panel Cointegration

Author

Listed:
  • In Choi

    () (Department of Economics, Sogang University, Seoul)

Abstract

This paper surveys the literature on panel cointegration. It starts by dis- cussing cointegrating panel regressions for both cross-sectionally independent and correlated panels. It then introduces three groups of tests for panel coin-tegration : residual-based tests for the null of noncointegration, residual-based tests for the null of cointegration, and tests based on vector autoregression.

Suggested Citation

  • In Choi, 2013. "Panel Cointegration," Working Papers 1208, Research Institute for Market Economy, Sogang University.
  • Handle: RePEc:sgo:wpaper:1208
    as

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    References listed on IDEAS

    as
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    1. So Much Good Reading........
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2013-10-09 04:21:00

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