Results 11 to 20 of about 51,987 (271)
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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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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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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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 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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Micro versus macro cointegration in heterogeneous panels [PDF]
Journal of Econometrics, 2010 We consider the issue of cross-sectional aggregation in nonstationary and heterogeneous panels where each unit cointegrates. We derive asymptotic properties of the aggregate estimate, and necessary and sufficient conditions for cointegration to hold in the aggregate relationship.
URGA, Giovanni, TRAPANI, Lorenzo
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Impact Of Tariff On Income: Cross Country Analysis
JISR Management and Social Sciences & Economics, 2019 The purpose of the study is to assess the significance of import tariff on the economic growth of ten countries divided into two groups; developing and developed economies.
Sidra Imran Amin, Ambreen Fatima
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Financial Development and Output Growth: A Panel Study for Asian Countries
East Asian Economic Review, 2012 This paper investigates the relationship between financial markets and output growth for a panel of 27 Asian countries over 1960-2009. It utilizes the recently-developed panel cointegration techniques to test and estimate the long-run equilibrium ...
Sangjoon Jun
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