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A panel bootstrap cointegration test

Economics Letters, 2007
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Westerlund, Joakim, Edgerton, David L.
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Inference in Panel Cointegration Models With Long Panels

Journal of Business & Economic Statistics, 2007
This article presents a general likelihood-based framework for inference in panel vector autoregressive (VAR) models with cointegration restrictions. The cointegrating relationships are restricted to each cross section while the rest of the model is unrestricted. The homogeneous restriction of common cointegrating space is also considered.
Larsson, Rolf, Lyhagen, Johan
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