Nonlinear error correction based cointegration test in panel data

DOI10.1016/J.ECONLET.2017.05.017zbMATH Open1401.62172OpenAlexW2616888789MaRDI QIDQ1782283FDOQ1782283

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
• Testing joint hypotheses when one of the alternatives is one-sided
• Testing for unit root in nonlinear heterogeneous panels
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Residual based tests for cointegration in dependent panels

Cited In (3)

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

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