We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector … errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of …

This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce …

This paper takes a panel cointegration approach to the estimation of short- and long-run exchange rate pass … establish. Resorting to novel tests for panel cointegration, we find support for the equilibrium relationship hypothesis …

This paper contributes to the GMM literature by introducing the idea of self-instrumenting target variables instead of …¤erent experimental designs and sample sizes, including in the case of experiments where the system GMM estimators are inconsistent. We …

for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and … considered are T ϵ {10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500}. -- panel cointegration test ; correction factor …

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration - in effect, a joint test against …

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …

This paper provides a review of the literature on unit roots and cointegration …