Cross-sectional correlation robust tests for panel cointegration
From MaRDI portal
Publication:3184499
DOI10.1080/02664760802510042zbMath1473.62308OpenAlexW2151029387MaRDI QIDQ3184499
Publication date: 21 October 2009
Published in: Journal of Applied Statistics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2003/23129
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (3)
An adaptive truncated product method for combining dependent \(p\)-values ⋮ Residual based tests for cointegration in dependent panels ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions
Cites Work
- Unnamed Item
- Unnamed Item
- Bootstrapping cointegrating regressions
- Improving the reliability of bootstrap tests with the fast double bootstrap
- Statistical analysis of cointegration vectors
- Time series: theory and methods.
- Spurious regression and residual-based tests for cointegration in panel data
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
- The jackknife and the bootstrap for general stationary observations
- Bootstrapping unstable first-order autoregressive processes
- Bootstrap unit root tests in panels with cross-sectional dependency
- Testing for a unit root in panels with dynamic factors
- Asymptotic Properties of Residual Based Tests for Cointegration
- A residual-based test of the null of cointegration in panel data
- Bootstrapping unit root tests for integrated processes
- A Sieve Bootstrap For The Test Of A Unit Root
- LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
- Introduction to the Mathematical and Satistical Foundations of Econometrics
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
- Panel unit root tests under cross‐sectional dependence
- Dynamic Seemingly Unrelated Cointegrating Regressions
- New Simple Tests for Panel Cointegration
This page was built for publication: Cross-sectional correlation robust tests for panel cointegration
