Nonlinear error correction based cointegration test in panel data

DOI10.1016/J.ECONLET.2017.05.017MaRDI QIDQ1782283zbMATHOpenAlexFDO

Authors Tolga Omay, Furkan Emirmahmutoglu, Zulal S. Denaux

Publication date 20 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.05.017

zbMATH Keywords

nonlinear error correction modelsieve bootstrapmodified Wald testcross section dependency

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites work

• A sieve bootstrap test for cointegration in a conditional error correction model
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• Residual based tests for cointegration in dependent panels
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Testing for unit root in nonlinear heterogeneous panels
• Testing joint hypotheses when one of the alternatives is one-sided

Cited in

(3)

• TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
• Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series
• Testing for cointegration in nonlinear asymmetric smooth transition error correction models

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