A Meta Analytic Approach to Testing for Panel Cointegration

DOI10.1080/03610910902750039MaRDI QIDQ3625368zbMATH OpenOpenAlexFDO

Authors Christoph Hanck

Publication date 12 May 2009

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

Full work available at URL https://doi.org/10.1080/03610910902750039

zbMATH Keywords

meta analysisMonte Carlo studypanel cointegration teststables

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• New Simple Tests for Panel Cointegration
• Cross-sectional correlation robust tests for panel cointegration
• A panel bootstrap cointegration test
• Panel cointegration testing in the presence of a time trend
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

Cites work

• A residual-based test of the null of cointegration in panel data
• A Sieve Bootstrap For The Test Of A Unit Root
• Asymptotic Properties of Residual Based Tests for Cointegration
• Bootstrapping cointegrating regressions
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Five alternative methods of estimating long-run equilibrium relationships
• scientific article; zbMATH DE number 4090552 (Why is no real title available?)
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Spurious regression and residual-based tests for cointegration in panel data
• Statistical analysis of cointegration vectors
• Testing for unit roots in autoregressive-moving average models of unknown order
• The error-in-rejection probability of meta-analytic panel tests

Cited in

(14)

• Panel cointegration testing in the presence of a time trend
• Reducing the size distortions of the panel LM test for cointegration
• The error-in-rejection probability of meta-analytic panel tests
• Likelihood-based cointegration tests in heterogeneous panels
• Combining non-cointegration tests
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Cross-sectional correlation robust tests for panel cointegration
• The performance of panel cointegration methods: results from a large scale simulation study
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Intersection tests for the cointegrating rank in dependent panel data
• IV-based cointegration testing in dependent panels with time-varying variance
• Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• Residual based tests for cointegration in dependent panels

This page was built for publication: A Meta Analytic Approach to Testing for Panel Cointegration

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3625368)