The performance of panel cointegration methods: results from a large scale simulation study

DOI10.1080/07474930903382182zbMATH Open1270.62123OpenAlexW2041548299MaRDI QIDQ3557577FDOQ3557577

Authors: Martin Wagner, Jaroslava Hlouskova 

Publication date: 23 April 2010

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://irihs.ihs.ac.at/1771/1/es-210.pdf

Recommendations

• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
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• Panel Cointegration Rank Testing with Cross-Section Dependence
• New Simple Tests for Panel Cointegration

zbMATH Keywords

cross-sectional dependencesimulation studytestestimatorpanel cointegration

Mathematics Subject Classification ID

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

Cites Work

• Linear Regression Limit Theory for Nonstationary Panel Data
• Title not available (Why is that?)
• Panels with non-stationary multifactor error structures
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Empirically relevant critical values for hypothesis tests: A bootstrap approach
• Testing for unit roots in heterogeneous panels.
• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
• A PANIC attack on unit roots and cointegration.
• Asymptotic Properties of Residual Based Tests for Cointegration
• Testing for a unit root in time series regression
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Nonparametric tests for unit roots and cointegration.
• Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Testing cointegration in infinite order vector autoregressive processes
• Time series analysis and simultaneous equation econometric models
• Spurious regression and residual-based tests for cointegration in panel data
• Likelihood-based cointegration tests in heterogeneous panels
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• Testing for stationarity in heterogeneous panel data
• New Simple Tests for Panel Cointegration
• A residual-based test of the null of cointegration in panel data
• Using subspace algorithm cointegration analysis: simulation performance and application to the term structure

Cited In (12)

• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
• The effects of cross-section dimension \(n\) in panel co-integration test
• Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Nonparametric rank tests for non-stationary panels
• Cointegration vector estimation by DOLS for a three-dimensional panel
• The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
• The long-run determinants of fertility: one century of demographic change 1900--1999
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• Intersection tests for the cointegrating rank in dependent panel data
• Estimation and Inference of a Cointegrated Regression in Panel Data: A Monte Carlo Study

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