IV-based cointegration testing in dependent panels with time-varying variance

DOI10.1111/JTSA.12071MaRDI QIDQ5176846zbMATH OpenOpenAlexFDO

Authors Matei Demetrescu, Christoph Hanck, Adina I. Tarcolea

Publication date 4 March 2015

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/62072

zbMATH Keywords

cointegrationdependent unitsheteroskedasticityinstrumental variable

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Residual based tests for cointegration in dependent panels
• Novel panel cointegration tests emending for cross-section dependence with N fixed
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• A Meta Analytic Approach to Testing for Panel Cointegration

Cites work

• A nonlinear IV likelihood-based rank test for multivariate time series and long panels
• A PANIC attack on unit roots and cointegration.
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Bootstrap determination of the co-integration rank in vector autoregressive models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Ergodic Property of the Brownian Motion Process
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• FURTHER RESULTS ON THE ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Heteroskedastic time series with a unit root
• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Nonlinear econometric models with cointegrated and deterministically trending regressors
• Nonlinear instrumental variable estimation of an autoregression.
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Nonlinear Regressions with Integrated Time Series
• Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Panel unit root testing with nonlinear instruments for infinite-order autoregressive processes
• Residual based tests for cointegration in dependent panels
• Spurious regression and residual-based tests for cointegration in panel data
• Testing for co-integration in vector autoregressions with non-stationary volatility

Cited in

(6)

• A perspective on recent methods on testing predictability of asset returns
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
• Nonlinear IV panel unit root testing under structural breaks in the error variance
• A nonlinear IV likelihood-based rank test for multivariate time series and long panels
• Novel panel cointegration tests emending for cross-section dependence with N fixed
• Residual based tests for cointegration in dependent panels

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