Intersection tests for the cointegrating rank in dependent panel data

DOI10.1080/03610918.2018.1489552OpenAlexW2527634907WikidataQ128295275 ScholiaQ128295275MaRDI QIDQ5088013

Antonia Arsova, Deniz Dilan Karaman Örsal

Publication date: 4 July 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1489552

zbMATH Keywords

multiple testingcross-sectional dependencecommon factorslikelihood-ratiopanel cointegration rank test

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
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• Multivariate concordance
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• Simes' procedure is ‘valid on average’
• The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study
• PANEL UNIT ROOT TESTS WITH CROSS-SECTION DEPENDENCE: A FURTHER INVESTIGATION
• A Meta Analytic Approach to Testing for Panel Cointegration
• A stagewise rejective multiple test procedure based on a modified Bonferroni test
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• An improved Bonferroni procedure for multiple tests of significance
• A Note on Combining Dependent Tests of Significance
• An Intersection Test for Panel Unit Roots
• Panel unit root tests under cross‐sectional dependence
• Testing Weak Cross-Sectional Dependence in Large Panels

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