In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that …

not invariant with respect to the investigated sample period. -- Purchasing power parity ; Panel cointegration ; Wild …

The concept of integrated stochastic processes is widely used in empirical macroeconomics; and cointegration analysis … considerable empirical method for extracting information from monetary aggregates for monetary policy purposes. -- cointegration …

-variate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis …

to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …

We derive an asymptotic theory of nonparametric estimation for an nonlinear transfer function model Z(t) = f (Xt) + Wt … interpreted as a nonlinear cointegration type relationship, but we believe that our results have wider interest. The class of … properties f(x) are studied via a set of simulation experiments. -- cointegration ; nonstationary time series models ; null …

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is … article. -- Fractional cointegration ; Long memory …

We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of … series ; Autoregressive ; Burg-type estimates ; Intercorrelated ; Panel data …