cointegration are provided. As a first application, we give analyticalcorroboration of the conjecture that the finite sample … coefficient. Hence, the notionof near cointegration helps to bridge the gap between the polar cases ofspurious regression and … cointegration. Secondly, we characterize theproperties of conventional cointegration methods under near cointegration …

with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the … residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …

Mundlak (1978) proposed the addition of time averages to the usual panel equation in order to remove the fixed effects … Section 4 we demonstrate that in this extended setup Probit - estimation on panel data sets does not pose a specific problem …

. Additionally, we consider situations where the regressors exhibit unit roots, thus delving into a nonlinear cointegration framework …

Panel Data model. We discuss issues involved when drawing Bayesian inference on regression parameters and variance …

This paper features an analysis of the cointegration relationships among agricultural commodity, ethanol and Cushing … cointegration and Markov-switching VECM and Impulse Response Analysis, confirms that these markets have significant linkages which …