The Estimation and Inference of a Panel Cointegration Model with a Time Trend

DOI10.1080/03610920601076891MaRDI QIDQ3593542zbMATH OpenOpenAlexFDO

Authors Min-Hsien Chiang, Chihwa Kao, Chih-Hsien Lo

Publication date 23 July 2007

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920601076891

zbMATH Keywords

panel cointegrationtime trendnonstationary panel

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

Recommendations

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Cites work

• A residual-based test of the null of cointegration in panel data
• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
• Likelihood-based cointegration tests in heterogeneous panels
• Linear Regression Limit Theory for Nonstationary Panel Data
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Spurious regression and residual-based tests for cointegration in panel data

Cited in

(4)

• Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence
• A new panel data treatment for heterogeneity in time trends
• Estimating a common deterministic time trend break in large panels with cross sectional dependence
• Estimation and Inference of a Cointegrated Regression in Panel Data: A Monte Carlo Study

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