Estimating cointegrating relations from a cross section

DOI10.1111/J.1368-423X.2005.00170.XMaRDI QIDQ3367411zbMATH OpenOpenAlexFDO

Authors Edith Madsen

Publication date 24 January 2006

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2005.00170.x

zbMATH Keywords

cointegrating relationscross-section regressiondynamic panel data modelsnon-stationary panel data

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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• Heteroskedastic cointegration
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• Stochastic cointegration: estimation and inference.

Cites work

• Estimating long-run relationships from dynamic heterogeneous panels
• scientific article; zbMATH DE number 3984433 (Why is no real title available?)
• scientific article; zbMATH DE number 805005 (Why is no real title available?)
• Linear Regression Limit Theory for Nonstationary Panel Data
• Panel Data Econometrics
• Understanding spurious regressions in econometrics

Cited in

(7)

• Normal estimators for cointegrating relationships
• Unit root inference in panel data models where the time-series dimension is fixed: a comparison of different tests
• scientific article; zbMATH DE number 1329169 (Why is no real title available?)
• Cointegration vector estimation by DOLS for a three-dimensional panel
• Estimation of cointegrated models with exogenous variables
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• ENDOGENOUS CROSS CORRELATIONS

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