ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES

DOI10.1017/S0266466604206077MaRDI QIDQ5314887zbMATH OpenFDO

Authors Yixiao Sun

Publication date 5 September 2005

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466604206077

zbMATH Keywords

panel cointegrationpanel spurious regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Linear Regression Limit Theory for Nonstationary Panel Data
• Mean average estimation of dynamic panel models with nonstationary initial condition
• Nonstationary panel data analysis: an overview of some recent developments
• Nonstationary panels, panel cointegration, and dynamic panels
• On the asymptotic \(t\)-test for large nonstationary panel models

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic theory of a test for the constancy of regression coefficients against the random walk alternative
• Asymptotics for linear processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Dynamic panel estimation and homogeneity testing under cross section dependence
• GMM estimation with cross sectional dependence
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Linear Regression Limit Theory for Nonstationary Panel Data
• Nonstationary panel data analysis: an overview of some recent developments
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• Spurious regression and residual-based tests for cointegration in panel data
• The commutation matrix: Some properties and applications
• The Error in Rejection Probability of Simple Autocorrelation Robust Tests

Cited in

(6)

• On the asymptotic \(t\)-test for large nonstationary panel models
• Nonstationary panel data analysis: an overview of some recent developments
• Linear Regression Limit Theory for Nonstationary Panel Data
• Common stochastic trends and aggregation in heterogeneous panels
• Identifying latent grouped patterns in cointegrated panels
• Conditionally Efficient Estimation of Long-Run Relationships Using Mixed-Frequency Time Series

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