Results 11 to 20 of about 3,084 (160)
A Meta Analytic Approach to Testing for Panel Cointegration [PDF]
Communications in Statistics - Simulation and Computation, 2009 We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study.
Christoph Hanck
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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
exaly +4 more sources
Population aging and inflation: evidence from panel cointegration
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
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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
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Unit Roots and Cointegration in Panels [PDF]
, 2005 This paper provides a review of the literature on unit roots and ...
Jörg Breitung, M. Hashem Pesaran
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Panel cointegration with global stochastic trends [PDF]
Journal of Econometrics, 2009 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.
Bai, Jushan, Kao, Chihwa, Ng, Serena
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Panel cointegration of Chinese A and B shares [PDF]
Applied Financial Economics, 2009 We study information flows in China's stock markets. By using panel data methods we test for a unit root in the price premium of domestic investors’ A shares over foreign investors’ B shares, as well as cointegration between the A- and B-share prices on the Shanghai and Shenzhen stock exchanges.
Ahlgren, Niklas +2 more
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Hidden panel cointegration [PDF]
Journal of King Saud University - Science, 2020 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 ...
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Panel cointegration and the neutrality of money
Empirical Economics, 2008 Most econometric methods for testing the proposition of long-run monetary neutrality rely on the assumption that money and real output do not cointegrate, a result that is usually supported by the data. This paper argues that these results can be attributed in part to the low power of univariate tests, and that a violation of the noncointegration ...
WESTERLUND J, COSTANTINI M
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Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey [PDF]
, 2004 This paper 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.
Badi H. Baltagi, Chihwa D. Kao
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