Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis

DOI10.1080/03610918.2015.1011332zbMATH Open1422.62198OpenAlexW1539827680MaRDI QIDQ5267868FDOQ5267868

Authors: Pär Sjölander, Kristofer Mansson, Ghazi Shukur 

Publication date: 13 June 2017

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1011332

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zbMATH Keywords

powersizewhite noiseerror correctionpanel cointegrationmultivariate testsFisher hypothesis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) White noise theory (60H40)

Cited In (2)

• Estimator Choice and Fisher's Paradox: A Monte Carlo Study
• A functional coefficient approach to modeling the Fisher hypothesis: worldwide evidence

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