Results 11 to 20 of about 52,481 (289)
Unit roots and cointegration in panels [PDF]
SSRN Electronic Journal, 2005 This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large.
Breitung, Jörg +1 more
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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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Panel Cointegration with Global Stochastic Trends [PDF]
Journal of Econometrics, 2008 This paper studies estimation of panel cointegration models with cross-sectional dependence generated by unobserved global stochastic trends. The standard least squares estimator is, in general, inconsistent owing to the spuriousness induced by the unobservable I(1) trends.
Jushan Bai, Chihwa Kao, Serena Ng
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Population aging and inflation: evidence from panel cointegration [PDF]
Journal of Applied Economics, 2020 This study investigates the relationship between demography and inflation using panel cointegration for 24 countries during 1961–2014. It shows that the age structure of the population affects inflation.
Paula C. A. M. de Albuquerque +2 more
doaj +3 more sources
Cross-Sectional Correlation Robust Tests for Panel Cointegration [PDF]
Journal of Applied Statistics, 2009 We use meta analytic combination procedures to develop new tests for panel cointegration. The main idea consists in combining p-values from time series cointegration tests on the different units of the panel. The tests are robust to heterogeneity as well
Hanck, Christoph
core +8 more sources
Testing weak exogeneity in cointegrated panels [PDF]
Applied Economics, 2013 For reasons of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explictly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous for the parameters of interest.
Moral-Benito, Enrique, Serven, Luis
openaire +4 more sources
Hidden panel cointegration [PDF]
Journal of King Saud University - Science, 2018 This article extends the seminal work of Granger and Yoo (2002) on hidden cointegration to panel data analysis. It shows how cumulative negative and positive changes can be constructed for each panel variable. It also shows how tests similar to the augmented Dickey-Fuller tests can be implemented to find out whether the cointegration is hidden in the ...
Abdulnasser Hatemi‐J
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Panel Cointegration Analysis with Xtpedroni [PDF]
The Stata Journal: Promoting communications on statistics and Stata, 2014 In this article, I introduce the new command xtpedroni, which implements the Pedroni (1999, Oxford Bulletin of Economics and Statistics 61: 653–670; 2004, Econometric Theory 20: 597–625) panel cointegration test and the Pedroni (2001, Review of Economics and Statistics 83: 727–731) group-mean panel-dynamic ordinary least-squares estimator.
Neal, Timothy, Neal, Timothy
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Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey [PDF]
SSRN Electronic Journal, 2000 This chapter provides an overview of topics in nonstationary panels: panel unit root tests, panel cointegration tests, and estimation of panel cointegration models. In addition it surveys recent developments in dynamic panel data models.
Baltagi, Badi H., Kao, Chihwa
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