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residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …
Persistent link: https://www.econbiz.de/10011299983
We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...
Persistent link: https://www.econbiz.de/10011302148
Persistent link: https://www.econbiz.de/10000675027
Persistent link: https://www.econbiz.de/10001412101