Likelihood-based cointegration tests in heterogeneous panels

DOI10.1111/1368-423X.00059MaRDI QIDQ2772843zbMATH OpenFDO

Authors Rolf Larsson, Mickael Löthgren, Johan Lyhagen

Publication date 11 April 2002

Published in The Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1368-423X.00059

zbMATH Keywords

cointegrationconsumption modelpanel datatables

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

(21)

• Panel cointegration testing in the presence of a time trend
• Pushing the limit? Fiscal policy in the European Monetary Union
• Inferential theory for heterogeneity and cointegration in large panels
• Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models
• New tools for understanding the local asymptotic power of panel unit root tests
• Micro versus macro cointegration in heterogeneous panels
• Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration
• Likelihood-based specification tests for dynamic factor models
• Inflation, exchange rates and PPP in a multivariate panel cointegration model
• The performance of panel cointegration methods: results from a large scale simulation study
• The Estimation and Inference of a Panel Cointegration Model with a Time Trend
• The long-run determinants of fertility: one century of demographic change 1900--1999
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
• Panel Data Analysis
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• New Simple Tests for Panel Cointegration
• Testing for stationarity in heterogeneous panel data where the time dimension is finite
• Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
• Corrigendum to ‘Likelihood‐based cointegration tests in heterogeneous panels’ (Larsson R., J. Lyhagen and M. Löthgren,Econometrics Journal, 4, 2001, 109–142)
• Money demand function versus monetary integration: Revisiting panel cointegration among GCC countries

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