New Simple Tests for Panel Cointegration

DOI10.1080/07474930500243019MaRDI QIDQ5697354zbMATH OpenOpenAlexFDO

Authors Joakim Westerlund

Publication date 17 October 2005

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930500243019

zbMATH Keywords

Monte Carlo simulationpanel cointegrationresidual-based tests

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Testing for panel cointegration using common correlated effects estimators
• A panel bootstrap cointegration test
• Panel cointegration testing in the presence of a time trend
• New Improved Tests for Cointegration with Structural Breaks
• Novel panel cointegration tests emending for cross-section dependence with N fixed
• Cross-sectional correlation robust tests for panel cointegration
• A simple method of testing for cointegration subject to multiple regime changes
• A residual-based test of the null of cointegration in panel data

Cites work

• A CUSUM test for cointegration using regression residuals
• A residual-based test of the null of cointegration in panel data
• Asymptotic Properties of Residual Based Tests for Cointegration
• Asymptotics for linear processes
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Likelihood-based cointegration tests in heterogeneous panels
• Linear Regression Limit Theory for Nonstationary Panel Data
• Nonparametric tests for unit roots and cointegration.
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Spurious regression and residual-based tests for cointegration in panel data
• Statistical analysis of cointegration vectors

Cited in

(18)

• Spurious regression and residual-based tests for cointegration in panel data
• Panel cointegration testing in the presence of a time trend
• Reducing the size distortions of the panel LM test for cointegration
• A panel bootstrap cointegration test
• Likelihood-based cointegration tests in heterogeneous panels
• 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
• A Meta Analytic Approach to Testing for Panel Cointegration
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Novel panel cointegration tests emending for cross-section dependence with N fixed
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis
• FDI inflows, economic growth, and governance quality trilogy in developing countries: A panel VAR analysis
• The effects of cross-section dimension n in panel co-integration test
• Fiscal sustainability investigation based on cluster analysis and panel CS-ARDL models
• A spatio-temporal model of house prices in the USA
• Residual based tests for cointegration in dependent panels

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