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Panel Cointegration

This paper surveys the literature on panel cointegration. It starts by dis- cussing cointegrating panel regressions for both cross-sectionally independent and correlated panels. It then introduces three groups of tests for panel coin-tegration : residual-based tests for the null of noncointegration, residual-based tests for the null of cointegration, and tests based on vector autoregression.
Year of publication:
2013
Authors: Choi, In
Institutions: Research Institute for Market Economy, Sogang University
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Notes:
Number 1208 42 pages
Source:
Persistent link: https://www.econbiz.de/10010900717
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