Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina I. - In: Journal of Time Series Analysis 35 (2014) 5, pp. 393-406
type="main" xml:id="jtsa12071-abs-0001"The distributions of cointegration tests are affected when the innovation variance varies over time. In panels, one must also pay attention to dependence among units. To obtain a panel cointegration test robust to both heteroskedasticity and dependence, we...
