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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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Panel cointegration testing in the presence of a time trend [PDF]
Computational Statistics & Data Analysis, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Deniz Dilan Karaman Örsal, Bernd Droge
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Testing for Exogeneity in Cointegrated Panels [PDF]
Oxford Bulletin of Economics and Statistics, 2014 AbstractThis paper proposes a test for the null that, in a cointegrated panel, the long‐run correlation between the regressors and the error term is different from zero. As is well known, in such case the OLS estimator is T‐consistent, whereas it is ‐consistent when there is no endogeneity. Other estimators can be employed, such as the FM‐OLS, that are
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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. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric group-t statistics of Pedroni(1999} and the standardized LR ...
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Religiosity and Income: A Panel Cointegration and Causality Analysis [PDF]
SSRN Electronic Journal, 2013 In this paper we examine the long-run relationship between religiosity and income using retrospective data on church attendance rates for a panel of countries from 1925 to 1990. We employ panel cointegration and causality techniques to control for omitted variable and endogeneity bias and test for the direction of causality. We show that there exists a
Herzer, Dierk, Strulik, Holger
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The Nexus Among Tourism, Urbanisation and CO2 Emissions in South Asia: A Panel Analysis
Tourism and Hospitality Management, 2021 Purpose – Tourism and urbanisation are two significant determinants of economic growth and have been identified as top contributors to CO2 emissions.
Sakib Bin Amin, Mahnaz Aftabi Atique
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Economic freedom and growth: A panel cointegration approach [PDF]
Panoeconomicus, 2016 This study uses three-country group panel data from 1993 to 2011 in examining the long-run effect of tax burdens (Fiscal index) and government regulations of business (Business index) on economic growth.
Acikgoz Bernur +2 more
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Panel cointegration tests of the Fisher effect [PDF]
Journal of Applied Econometrics, 2007 AbstractMost empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a finding at odds with many theoretical models. This paper argues that these results can be attributed in part to the low power of univariate tests, and that the use of ...
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Borsa Istanbul Review, 2017 This paper employs several techniques to study the dynamic effect and causality among globalization, institutions and financial development. Specifically, we use the panel cointegration technique by Pedroni (1999, 2004); the DOLS approach by Kao and ...
Ibrahim Muhammad Muye +1 more
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A Review of International Financial Market Integration Using Nonstationary Panel Techniques
East Asian Economic Review, 2003 This paper investigates the Feldstein-Horioka coefficient for OECD country group and Asian country group, using the recently developed several nonstatioanry panel cointegration techniques.
Hong Kee Kim
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