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null of no cointegration can be decisively rejected by applying the panel cointegration test of Pedroni (1999). The …
Persistent link: https://www.econbiz.de/10011439458
This paper provides a review of the literature on unit roots and cointegration …
Persistent link: https://www.econbiz.de/10012991206
This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …
Persistent link: https://www.econbiz.de/10013318328
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
Persistent link: https://www.econbiz.de/10003931103
This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012 …This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Orsal and Droge …
Persistent link: https://www.econbiz.de/10010187855
This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …
Persistent link: https://www.econbiz.de/10009736650
The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear … power in small samples. -- Panel cointegration Test ; likelihood ratio ; time trend ; Monte Carlo study …
Persistent link: https://www.econbiz.de/10003796158
Persistent link: https://www.econbiz.de/10003510803
This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes’ (1986) intersection test and requires only the...
Persistent link: https://www.econbiz.de/10011453075