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Separation, weak exogeneity, and P-T decomposition in conintegrated VAR systems with common features
Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - In: Econometric reviews 21 (2002) 3, pp. 273-307
Persistent link: https://www.econbiz.de/10001718742
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Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features
Hecq, Alain; Palm, Franz C.; Urbain, Jean-Pierre - 2021
common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of … investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …
Persistent link: https://www.econbiz.de/10013320629
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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
common stochastic trends and common stochastic cycles. When modeling the dynamics of multiple time series for a panel of … investigate the relationships between separation in cointegration and separation in serial correlation common features. Loosely …
Persistent link: https://www.econbiz.de/10011409009
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Testing Weak Exogeneity in Cointegrated Panels
Moral-Benito, Enrique - 2014
weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first … letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity. The …
Persistent link: https://www.econbiz.de/10011396326
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Large panels and high-dimensional vector autoregressive models
Callot, Laurent - 2012
Persistent link: https://www.econbiz.de/10010204938
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A parametric approach to the estimation of cointegration vectors in panel data
Breitung, Jörg - In: Econometric reviews 24 (2005) 2, pp. 151-173
Persistent link: https://www.econbiz.de/10003002298
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A parametric approach to the estimation of cointegration vectors in panel data
Breitung, Jörg - 2002
Persistent link: https://www.econbiz.de/10001656716
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Testing Weak Exogeneity in Cointegrated Panels
Moral-Benito, Enrique; Serven, Luis - 2015
weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …
Persistent link: https://www.econbiz.de/10012564342
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Testing Weak Exogeneity in Cointegrated Panels
Moral-Benito, Enrique - 2013
weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first …
Persistent link: https://www.econbiz.de/10013082067
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Testing Weak Exogeneity in Cointegrated Panels
Moral-Benito, Enrique - 2017
weak exogeneity in panel cointegration models. The test has a limiting Gumbel distribution that is obtained by first … letting the time dimension of the panel go to infinity and then letting its cross-sectional dimension go to infinity.The paper …
Persistent link: https://www.econbiz.de/10012972704