Panel Data Cointegration Testing with Structural Instabilities
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Cites work
- A PANIC attack on unit roots and cointegration.
- A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
- A spatio-temporal model of house prices in the USA
- Asymptotic local power of pooled t-ratio tests for unit roots in panels with fixed effects
- CCE in panels with general unknown factors
- Common breaks in means and variances for panel data
- Common breaks in time trends for large panel data with a factor structure
- Determining the Number of Factors in Approximate Factor Models
- Estimating a common deterministic time trend break in large panels with cross sectional dependence
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Estimation of heterogeneous panels with structural breaks
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- Linear Regression Limit Theory for Nonstationary Panel Data
- Nonstationary panel data analysis: an overview of some recent developments
- Panel cointegration with global stochastic trends
- Panel unit root tests in the presence of a multifactor error structure
- Structural breaks with deterministic and stochastic trends
- Testing for panel cointegration using common correlated effects estimators
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The local power of the CADF and CIPS panel unit root tests
- Time series and panel data econometrics
- Unit root tests allowing for a break in the trend function at an unknown time under both the null and alternative hypotheses
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