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The perils of counterfactual analysis with integrated processes

Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016

are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

Persistent link: https://www.econbiz.de/10011579472

Inferential theory for heterogeneity and cointegration in large panels

Trapani, Lorenzo - In: Journal of econometrics 220 (2021) 2, pp. 474-503

Persistent link: https://www.econbiz.de/10012618525

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

Globalisation and cointegration among the states and convergence across the continents : a panel data analysis

De, Utpal Kumar - In: Economic analysis and policy : EAP ; journal of the … 44 (2014) 1, pp. 107-121

Persistent link: https://www.econbiz.de/10011481817

The Econometric analysis of non-stationary spatial panel data

Beenstock, Michael; Felzenshtain, Daniyel - 2019

and Econometrics -- 4 The Spatial Conectivity Matrix -- 5 Unit Root and Cointegration Tests in Spatial Cross-Section Data … -- 6 Spatial Vector Autoregressions -- 7 Unit Root and Cointegration Tests for Spatially Dependent Panel Data -- 8 … Cointegration in Non-Stationary Panel Data -- 9 Spatial Vector Error Correction -- 10 Strong and Weak Cross-Section Dependence in …