The performance of panel cointegration methods: results from a large scale simulation study
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Publication:3557577
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Cites work
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- A PANIC attack on unit roots and cointegration.
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A residual-based test of the null of cointegration in panel data
- AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
- Asymptotic Properties of Residual Based Tests for Cointegration
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Empirically relevant critical values for hypothesis tests: A bootstrap approach
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Likelihood-based cointegration tests in heterogeneous panels
- Linear Regression Limit Theory for Nonstationary Panel Data
- New Simple Tests for Panel Cointegration
- Nonparametric tests for unit roots and cointegration.
- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
- Panels with non-stationary multifactor error structures
- Spurious regression and residual-based tests for cointegration in panel data
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Testing cointegration in infinite order vector autoregressive processes
- Testing for a unit root in time series regression
- Testing for stationarity in heterogeneous panel data
- Testing for unit roots in heterogeneous panels.
- Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
- The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study
- Time series analysis and simultaneous equation econometric models
- 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
- Intersection tests for the cointegrating rank in dependent panel data
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- Estimation and Inference of a Cointegrated Regression in Panel Data: A Monte Carlo Study
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