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Are US real house prices stationary? : new evidence from univariate and panel data

Zhang, Jing; Jong, Robert M. de; Haurin, Donald R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011431067

Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

Persistent link: https://www.econbiz.de/10009786715

Separation, weak exogeneity and P-T decomposition in cointegrated VAR systems with common features

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2002

investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …

Persistent link: https://www.econbiz.de/10011409009

Canonical correlation analysis in panel vector error correction model performance comparison

Kebłowski, Piotr - In: Central European journal of economic modelling and … 8 (2016) 4, pp. 203-217

Persistent link: https://www.econbiz.de/10011634918

On the estimation and inference of a panel cointegration model with cross-sectional dependence

Bai, Jushan; Kao, Chihwa - In: Panel data econometrics : theoretical contributions and …, (pp. 1-30). 2006

Persistent link: https://www.econbiz.de/10003331420

Estimation of higher-order spatial autoregressive panel data error component models

Badinger, Harald; Egger, Peter - 2009

This paper develops an estimator for higher-order spatial autoregressive panel data error component models with spatial autoregressive disturbances, SARAR(R,S). We derive the moment conditions and optimal weighting matrix without distributional assumptions for a generalized moments (GM)...