The effects of cross-section dimension n in panel co-integration test

DOI10.1016/J.CNSNS.2009.05.001MaRDI QIDQ718202zbMATH OpenOpenAlexFDO

Authors Yi Hu, Xiaohua Xia, Meijin Wang, Zhan-Ming Chen

Publication date 23 September 2011

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2009.05.001

zbMATH Keywords

panel unit test

Mathematics Subject Classification ID

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

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Cites work

• A PANIC attack on unit roots and cointegration.
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Linear Regression Limit Theory for Nonstationary Panel Data
• New Simple Tests for Panel Cointegration
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Nonstationary panels, panel cointegration, and dynamic panels
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Panel unit root tests under cross‐sectional dependence
• Spurious regression and residual-based tests for cointegration in panel data
• Testing for a unit root in panels with dynamic factors
• Testing for unit roots in heterogeneous panels.
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(2)

• Higher order mean squared error of generalized method of moments estimators for nonlinear models
• Chow-Lin \(\times N\): how adding a panel dimension can improve accuracy

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