Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

DOI10.1080/07474938.2016.1183070MaRDI QIDQ5860891zbMATH OpenOpenAlexWikidataFDO

Authors Antonia Arsova, Deniz Dilan Karaman Örsal

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://fox.leuphana.de/portal/de/publications/likelihoodbased-panel-cointegration-test-in-the-presence-of-a-linear-time-trend-and-crosssectional-dependence(6bc6dd58-ec33-44bf-aedc-cffa6b36dc06).html

zbMATH Keywords

common factorscross-sectional dependencelikelihood-ratiopanel cointegration rank testtime trend

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Likelihood-based cointegration tests in heterogeneous panels
• Panel cointegration testing in the presence of a time trend
• Testing for cointegration using partially linear models
• Panel Cointegration Rank Testing with Cross-Section Dependence
• Novel panel cointegration tests emending for cross-section dependence with N fixed
• A test of cross section dependence for a linear dynamic panel model with regressors
• The Estimation and Inference of a Panel Cointegration Model with a Time Trend
• Residual based tests for cointegration in dependent panels

Cites work

• A PANIC attack on unit roots and cointegration.
• Alternative representations for cointegrated panels with global stochastic trends
• Determining the Number of Factors in Approximate Factor Models
• Likelihood-based cointegration tests in heterogeneous panels
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
• Panel Cointegration Rank Testing with Cross-Section Dependence
• Panel cointegration testing in the presence of a time trend
• Panel cointegration with global stochastic trends
• Panels with non-stationary multifactor error structures
• Statistical analysis of cointegration vectors
• Testing for Common Trends
• Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
• The performance of panel cointegration methods: results from a large scale simulation study
• Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process

Cited in

(8)

• Panel cointegration testing in the presence of a time trend
• Likelihood-based cointegration tests in heterogeneous panels
• Panel cointegration with global stochastic trends
• The Estimation and Inference of a Panel Cointegration Model with a Time Trend
• Novel panel cointegration tests emending for cross-section dependence with N fixed
• Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors
• Demeaning the data in panel-cointegration models to control for cross-sectional dependencies
• Panel Cointegration Rank Testing with Cross-Section Dependence

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