Nonparametric rank tests for non-stationary panels

DOI10.1016/j.jeconom.2014.08.013zbMath1332.62337OpenAlexW1987339343MaRDI QIDQ2343816

Timothy J. Vogelsang, Martin Wagner, Joakim Westerlund, Peter L. Pedroni

Publication date: 6 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://irihs.ihs.ac.at/2062/1/es-270.pdf

zbMATH Keywords

cointegrationunit rootscross-sectional dependencenonparametric rank teststime series panel

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

INFERENCE ON THE DIMENSION OF THE NONSTATIONARY SUBSPACE IN FUNCTIONAL TIME SERIES ⋮ Extreme canonical correlations and high-dimensional cointegration analysis

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