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Unit roots and cointegration in panels
Breitung, Jörg; Pesaran, Mohammad Hashem - 2005
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/10010295787
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Unit roots and cointegration in panels
Breitung, Jörg; Pesaran, Mohammad Hashem - 2005
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/10010276171
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Panel unit root tests in the presence of a multifactor error structure
Pesaran, Mohammad Hashem; Smith, L. Vanessa; Yamagata, … - 2008
This paper extends the cross sectionally augmented panel unit root test proposed by Pesaran (2007) to the case of a multifactor error structure. The basic idea is to exploit information regarding the unobserved factors that are shared by other time series in addition to the variable under...
Persistent link: https://www.econbiz.de/10010276216
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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
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Panel Tests for Unit Roots in Hours Worked
Kappler, Marcus - 2008
-stationarity of hours worked. In addition, taking these results together, there is no indication of cointegration among the individual …
Persistent link: https://www.econbiz.de/10012727117
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Panel Cointegration Testing in the Presence of Linear Time Trends
Hassler, Uwe - 2014
We consider a class of panel tests covering tests for the null hypothesis of no cointegration as well as cointegration …
Persistent link: https://www.econbiz.de/10013043027
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Fractionally Integrated Panel Data Systems
Ergemen, Yunus Emre - 2015
asymptotic normal distributions, irrespective of cointegration. A study of small-sample performance is carried out showing …
Persistent link: https://www.econbiz.de/10013031907
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Unit Roots and Cointegration in Panels
Breitung, Jörg - 2016
This paper provides a review of the literature on unit roots and cointegration …
Persistent link: https://www.econbiz.de/10012991206
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Current Account Sustainability in ECOWAS Sub-Regional Blocs : A Double Cointegration Investigation
Do Ango, Simplicio - 2018
panel and intra-panel cointegration techniques to test for long-run relationship between variables. Therefore, results from …
Persistent link: https://www.econbiz.de/10012922539
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A Panel Bounds Testing Procedure
Bertsatos, Georgios; Sakellaris, Plutarchos; Tsionas, Mike - 2022
We propose a bounds testing procedure (BTP) with a battery of tests for the existence of a non-degenerate co-integrating relationship in levels, for long panels. It is a natural extension to panel data of the respective approach in time series as described by Pesaran, Shin and Smith (2001) and...
Persistent link: https://www.econbiz.de/10013294020