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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
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
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
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
-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
asymptotic normal distributions, irrespective of cointegration. A study of small-sample performance is carried out showing …
Persistent link: https://www.econbiz.de/10013031907
panel and intra-panel cointegration techniques to test for long-run relationship between variables. Therefore, results from …
Persistent link: https://www.econbiz.de/10012922539
-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …
Persistent link: https://www.econbiz.de/10009686205
-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …
Persistent link: https://www.econbiz.de/10009228950
Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...
Persistent link: https://www.econbiz.de/10011715923