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

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 …

of moments (GMM) estimator can be severely downward biased in small samples. The weight matrix used in the calculation of … the efficient two-step GMM estimator is based on initial consistent parameter estimates. In this paper it is shown that … difference between the finite sample and the asymptotic variance of the two-step GMM estimator that utilises moment conditions …

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 …

model allows OLS-methods to be as efficient as (multivariate) full information maximum likelihood methods under a few … assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short … correction models ; panel cointegration analysis ; bootstrap …

-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 …

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 …

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 …