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Estimation for spatial dynamic panel data with fixed effects : the case of spatial cointegration

Yu, Jihai; Jong, Robert M. de - In: Journal of econometrics 167 (2012) 1, pp. 16-37

Persistent link: https://www.econbiz.de/10009551450

A homogeneous approach to testing for granger non-causality in heterogeneous panels

Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - 2020

Persistent link: https://www.econbiz.de/10012610528

A homogeneous approach to testing for Granger non-causality in heterogeneous panels

Juodis, Artūras; Karavias, Yiannis; Sarafidis, Vasilis - In: Empirical economics : a quarterly journal of the … 60 (2021) 1, pp. 93-112

Persistent link: https://www.econbiz.de/10012488894

Correcting estimation bias in regime switching dynamic term structure models

Cho, Sungjun; Liu, Liu - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 1093-1127

Persistent link: https://www.econbiz.de/10014342159

Biased estimation in a simple extension of a standard error correction model

Müller, Christian - In: Swiss journal of economics and statistics 145 (2009) 1, pp. 37-60

Persistent link: https://www.econbiz.de/10003832165

A jackknife correction to a test for cointegration rank

Chambers, Marcus J. - In: Econometrics : open access journal 3 (2015) 2, pp. 355-375

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector autoregressive system. The limiting distributions of the jackknife-corrected statistics are derived and the critical values of these distributions are tabulated. Based on these critical...

Persistent link: https://www.econbiz.de/10011297630