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Comparison of Panel Cointegration Tests [PDF]
Economics Bulletin, 2007 The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations.
Deniz Dilan Karaman Örsal
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Mixed Signals Among Panel Cointegration Tests [PDF]
, 2006 Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (?mixed signals?) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied ...
Hanck, Christoph
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Combining non‐cointegration tests [PDF]
Journal of Time Series Analysis, 2012 The local power of many popular non‐cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that parameter, different tests perform best. This paper suggests combination procedures with the aim of providing meta tests that maintain high power across the range of the nuisance parameter.1 We ...
Bayer, Christian, Hanck, Christoph
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Critical Values for Cointegration Tests [PDF]
, 1990 This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these tables are necessarily based on computer simulations, they are much more accurate than those previously available.
James G. MacKinnon
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The Power of Cointegration Tests. [PDF]
Oxford Bulletin of Economics and Statistics, 1992 A cointegration test statistic based upon estimation of an error correction model can be approximately normally distributed when no cointegration is present. By contrast, the equivalent Dickey-Fuller statistic applied to residuals from a static relationship has a non-standard asymptotic distribution. When cointegration exists, the error-correction test
Dolado, Juan José +2 more
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Semiparametrically Optimal Cointegration Test
SSRN Electronic Journal, 2023 This paper aims to address the issue of semiparametric efficiency for cointegration rank testing in finite-order vector autoregressive models, where the innovation distribution is considered an infinite-dimensional nuisance parameter. Our asymptotic analysis relies on Le Cam's theory of limit experiment, which in this context takes the form of Locally ...
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Low-frequency robust cointegration testing [PDF]
Journal of Econometrics, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Ulrich Müller, Mark W. Watson
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Diagnostic testing for cointegration [PDF]
Journal of Econometrics, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Wagner’s hypothesis in Europe: a causality analysis with disaggregated data
European Journal of Government and Economics, 2023 This paper examines Wagner hypothesis of the growth of public expenditure alongside the growth of economic activity for a panel of 28 European economies during the 1995-2018 period.
Ivan D Trofimov
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Études Caribéennes, 2012 April, 2011. The excitement in streets is the sign that a major event for the future of the country gets ready: Raoul Castro convened the meeting of the 6th congress of the Cuban Communist Party.
Jessica Mixhe
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