Micro versus macro cointegration in heterogeneous panels

DOI10.1016/J.JECONOM.2009.07.005MaRDI QIDQ2630160zbMATH OpenOpenAlexFDO

Authors Lorenzo Trapani, Giovanni Urga

Publication date 25 July 2016

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

Full work available at URL https://openaccess.city.ac.uk/id/eprint/6111/1/TrapaniUrga_3rdRound_15Jun09.pdf

zbMATH Keywords

aggregationbootstrapcointegrationheterogeneous panelsspurious regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Common stochastic trends and aggregation in heterogeneous panels
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Cites work

• A residual based test for the null hypothesis of cointegration.
• A residual-based test of the null of cointegration in panel data
• A Sieve Bootstrap For The Test Of A Unit Root
• Aggregation of linear dynamic microeconomic models
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• ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
• Bootstrapping cointegrating regressions
• Cointegration and aggregation
• Common stochastic trends and aggregation in heterogeneous panels
• Estimating cross-section common stochastic trends in nonstationary panel data
• Estimating long-run relationships from dynamic heterogeneous panels
• scientific article; zbMATH DE number 3820821 (Why is no real title available?)
• scientific article; zbMATH DE number 1432780 (Why is no real title available?)
• Implications of seeing economic variables through an aggregation window
• Inferential Theory for Factor Models of Large Dimensions
• Linear Regression Limit Theory for Nonstationary Panel Data
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• On the dynamic shape of aggregated error correction models
• Spurious regression and residual-based tests for cointegration in panel data
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Understanding spurious regressions in econometrics

Cited in

(8)

• On the dynamic shape of aggregated error correction models
• Heteroskedastic cointegration
• From micro-correlations to macro-correlations
• Aggregation in large dynamic panels
• Nonstationary panels, panel cointegration, and dynamic panels
• Cointegration and aggregation
• Common stochastic trends and aggregation in heterogeneous panels
• Linear aggregation in cointegrated systems

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