IV‐BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME‐VARYING VARIANCE (Q5176846): Difference between revisions

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+Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
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+Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
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+Testing for co-integration in vector autoregressions with non-stationary volatility
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+Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
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+HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
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+Nonlinear IV unit root tests in panels with cross-sectional dependency.
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+Residual based tests for cointegration in dependent panels
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+Nonlinear econometric models with cointegrated and deterministically trending regressors
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+Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes
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+Co-Integration and Error Correction: Representation, Estimation, and Testing
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF  INTEGRATED TIME SERIES
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+Ergodic Property of the Brownian Motion Process
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+Spurious regression and residual-based tests for cointegration in panel data
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+Q4716820
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+A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels
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+ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED  TIME SERIES
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+Nonlinear Regressions with Integrated Time Series
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+PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
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+Nonlinear instrumental variable estimation of an autoregression.
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+ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
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