Spurious regression and residual-based tests for cointegration in panel data
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Publication:1305656
DOI10.1016/S0304-4076(98)00023-2zbMATH Open1070.62527OpenAlexW2125331782MaRDI QIDQ1305656FDOQ1305656
Authors: Chihwa Kao 
Publication date: 1999
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(98)00023-2
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
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- Five alternative methods of estimating long-run equilibrium relationships
- A residual-based test of the null of cointegration in panel data
- Tests for cointegration. A Monte Carlo comparison
Cited In (55)
- Semi-endogenous versus Schumpeterian growth models: testing the knowledge production function using international data
- The Estimation and Inference of a Panel Cointegration Model with a Time Trend
- Demeaning the data in panel-cointegration models to control for cross-sectional dependencies
- Testing for stationarity in heterogeneous panel data where the time dimension is finite
- Inferential theory for heterogeneity and cointegration in large panels
- Panel data analysis -- advantages and challenges (with comments and rejoinder)
- A residual-based test of the null of cointegration in panel data
- Micro versus macro cointegration in heterogeneous panels
- Test of hypotheses in panel data models when the regressor and disturbances are possibly non-stationary
- The performance of panel cointegration methods: results from a large scale simulation study
- FDI inflows, economic growth, and governance quality trilogy in developing countries: A panel VAR analysis
- ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES
- Using information about technologies, markets and firm behaviour to decompose a proper productivity index
- New Simple Tests for Panel Cointegration
- The effects of cross-section dimension \(n\) in panel co-integration test
- Panel Data Analysis
- Testing for spurious and cointegrated regressions: A wavelet approach
- Estimation and identification of change points in panel models with nonstationary or stationary regressors and error term
- Robust estimation for structural spurious regressions and a Hausman-type cointegration test
- Mean group tests for stationarity in heterogeneous panels
- Panel cointegration with global stochastic trends
- Nonstationary panel data analysis: an overview of some recent developments
- Residual based tests for cointegration in dependent panels
- Spurious regression
- Testing for Panel Cointegration Using Common Correlated Effects Estimators
- Exchange rate regimes and business cycles: an empirical investigation
- Are current account deficits sustainable?: Evidence from panel cointegration
- Spurious regressions and residual-based tests for cointegration when regressors are cointegrated
- Testing for spurious regression in a panel data model with the individual number and time length growing
- Some cautions on the use of panel methods for integrated series of macroeconomic data
- International R\&D spillovers revisited
- Sieve bootstrapt-tests on long-run average parameters
- The law of one food price
- On the asymptotic \(t\)-test for large nonstationary panel models
- A Test of the validity of Crowding-out (or- in) hypothesis: A new examination of link between public borrowing and private investment in Emerging Europe
- INSURANCE AND REAL OUTPUT: THE KEY ROLE OF BANKING ACTIVITIES
- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
- The impact of the real interest rate, the exchange rate and political stability on foreign direct investment inflows: a comparative analysis of G7 and GCC countries
- The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
- The long-run relationship between productivity and capital
- Asymptotic properties of estimators for the linear panel regression model with random individual effects and serially correlated errors: the case of stationary and non-stationary regressors and residuals
- IV‐BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME‐VARYING VARIANCE
- Regulation, institutions and aggregate investment: new evidence from OECD countries
- The long-run determinants of fertility: one century of demographic change 1900--1999
- Estimation of heterogeneous panels with structural breaks
- Asymptotics for Panel Models with Common Shocks
- Unobserved heterogeneity in panel time series models
- Estimation and Inference of a Cointegrated Regression in Panel Data: A Monte Carlo Study
- New evidence on international R\&D spillovers, human capital and productivity in the OECD
- Money demand function versus monetary integration: Revisiting panel cointegration among GCC countries
- Peter C. B. Phillips's contributions to panel data methods
- A Meta Analytic Approach to Testing for Panel Cointegration
- Cross-sectional correlation robust tests for panel cointegration
- THE NEUTRALITY OF NOMINAL RATES: HOW LONG IS THE LONG RUN?
- The role of environmental tax in guiding global climate policies to mitigate climate changes in European region
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