The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a dynamic panel given the assumption of a common cointegrating rank. This paper presents a test for this assumption. The test is based on the test statistic of Larsson et al (1998) and...

This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating restrictions. The cointegrating relations are restricted to each cross-section while the rest of the model is unrestricted. The homogenous restriction of common cointegrating space is...

In this paper we test for existence of cointegration between health expenditure and GDP using data from 19 OECD countries for the period 1960-1995. Country-by-country and panel results based on the Johansen multivariate likelihood-based inference and a new panel test for cointegration rank are...

The recent findings by McCoskey and Selden (1997, Journal of Health Economics, forthcoming) that health expenditure and GDP are stationary are driven by the omission of time trends in their ADF regressions. Since both health expenditure and GDP are trending, this omission raise serious doubts on...

This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this,...

In cointegration analysis, when considering a hypothesis of the kind beta =(H_1*phi_1,...,H_n*phi_n) the estimator is a simple switching method that requires starting values. We propose using additional restrictions, then solutions of an eigenvector problem may be used as starting values. Using...

Nonnegativety constraints on the parameters of the GARCH (p, Q) model may be relaxed without giving up the requirement of the conditional variance remaining non- negative with probability one. This paper looks into the consequences of adopting these less severe constraints in the GARCH (2,2)...

In this paper, a necessary and sufficient condition for the existence of the unconditional fourth moment of the GARCH (p, q) process is given as well as an expression for the moment itself. Furthermore, the autocorrelation function of the centred and squared observations of this process is...

Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in financial series such as stock and exchange rate returns are considered. These are the standard Generalized Autoregressive Conditional Heteroskedasticity (GARCH), the Exponential...

The constant conditional correlation GARCH model is probably the most frequently applied multivariate GARCH model. In this paper we consider an extension to this model and examine its fourth-moment structure. The extension, first considered by Jeantheau (1998), is motivated by the result found...