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Testing for common cointegrating rank in dynamic panels
Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 2000
The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a …
Persistent link: https://www.econbiz.de/10005207177
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Testing for stationarity in a cointegrated system
Kunst, Robert M. - 2002
best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …
Persistent link: https://www.econbiz.de/10010292762
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Testing for Stationarity in a Cointegrated System
Kunst, Robert M. - Department of Economics and Finance Research and … - 2002
best test to be used jointly with a restriction test on self-cointegration is a modified version of the Dickey-Fuller test …
Persistent link: https://www.econbiz.de/10005764208
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The Carbon Kuznets Curve: A cloudy picture emitted by bad econometrics?
Wagner, Martin - 2006
In recent years many empirical studies of environmental Kuznets curves employing unit root and cointegration techniques …
Persistent link: https://www.econbiz.de/10010294035
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The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics?
Wagner, Martin; Müller-Fürstenberger, Georg - Department Volkswirtschaftlehre, Universität Bern - 2004
(panel) unit root and cointegration techniques, widely used by now in the Kuznets curve literature, cannot be applied …, is that the unit root and cointegration methods have been used too uncritically. In particular the notorious small sample … problems of unit root and cointegration problems have been neglected. By applying various bootstrap algorithms and several …
Persistent link: https://www.econbiz.de/10005730943
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The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?
Wagner, Martin - Department of Economics and Finance Research and … - 2006
In recent years many empirical studies of environmental Kuznets curves employing unit root and cointegration techniques …
Persistent link: https://www.econbiz.de/10005704190
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Nonparametric rank tests for non-stationary panels
Pedroni, Peter; Vogelsang, Timothy J.; Wagner, Martin; … - 2011
-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …
Persistent link: https://www.econbiz.de/10010290983
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Nonparametric Rank Tests for Non-stationary Panels
Pedroni, Peter; Vogelsang, Timothy J.; Wagner, Martin; … - Department of Economics and Finance Research and … - 2011
-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …
Persistent link: https://www.econbiz.de/10009132675
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Spurious rejections by Dickey-Fuller tests in the presence of an endogenously determined break under the null
Badillo Amador, Rosa; Belaire Franch, Jorge; Reverte … - In: Revista de Métodos Cuantitativos para la Economía y … 09 (2010), pp. 3-16
Leybourne et al. (1998) have proved the possibility of a `converse Perron phenomenon' when conventional Dickey-Fuller tests are applied to deter-mine the order of integration of a time series. That is, if the true generating process is I(1) but with a break, frequent spurious rejections of the...
Persistent link: https://www.econbiz.de/10010282680
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Testing for unit roots in three-dimensional heterogeneous panels in the presence of cross-sectional dependence
Giulietti, Monica; Otero, Jesús; Smith, Jeremy - Department of Economics, University of Warwick - 2006
This paper extends the cross-sectionally augmented IPS (CIPS) test of Pesaran (2006) to a three-dimensional (3D) panel. This 3D-CIPS test is correctly sized in the presence of cross-sectional dependency. Comparing its power performance to that of a bootstrapped IPS (BIPS) test, we find that the...
Persistent link: https://www.econbiz.de/10005368631