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Savings-investment cointegration in panel data
Applied Economics Letters, 1999Existing cointegration tests for the savings-investment model are limited because of low testing power. In this paper the savings-investment correlation is re-examined using a panel cointegration test by which the power seems to be improved greatly.
KEUN-YEOB OH +3 more
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Fully modified OLS for heterogeneous cointegrated panels [PDF]
, 2004 This chapter uses fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that is consistent with the degree of cross sectional heterogeneity that has been permitted in recent panel unit root and panel cointegration studies.
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Panel cointegration and productivity bias hypothesis
Journal of Economic Studies, 2004Productivity bias hypothesis claims that deviation of the PPP based exchange rate from the equilibrium rate is mainly due to productivity differentials among countries. Early studies that employed cross‐sectional data in testing the hypothesis provided mixed results. A few time‐series studies have provided some support for the hypothesis.
Mohsen Bahmani‐Oskooee, Ilir Miteza
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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 as to cross-sectional dependence between the different units of the panel.
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Panel Cointegration Analysis of Audit Pricing Model
Review of Quantitative Finance and Accounting, 2005This paper addresses two issues that arise from testing and estimating cointegration in accounting research. The first issue is the failure to use more powerful cointegration tests by earlier researchers. This has led to the problem of low test power in the cointegration procedures employed in the earlier accounting literature.
Win Lin Chou, Dominica Suk-yee Lee
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Testing for breaks in cointegrated panels [PDF]
, 2006 Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap.
Di Iorio, Francesca, Fachin, Stefano
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Panel Cointegration Techniques and Open Challenges
2019Abstract This chapter discusses the challenges that shape panel cointegration techniques, with an emphasis on the challenge of maintaining the robustness of cointegration methods when temporal dependencies interact with both cross-sectional heterogeneities and dependencies.
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Panel Cointegration Estimation of International Knowledge Spillovers
Global Economic Review, 2008Abstract This paper estimates the effect of international knowledge spillovers through import on a country's productivity, using panel data from 13 Organizations for Economic Cooperation and Development (OECD) countries during 1981–1999 and two alternative estimation methods for the panel cointegration model.
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Panel Cointegration Tests : A Survey
Rivista internazionale di scienze sociali : 1, 2008, 2008openaire +2 more sources