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On the Existence of the Moments of the Asymptotic Trace Statistic
Örsal, Deniz Dilan Karaman; Droge, Bernd - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
whose moments may be used to develop panel cointegration tests. Moreover, we justify the common practice to approximate …
Persistent link: https://www.econbiz.de/10005489952
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International Health Expenditure and GDP: New Multivariate Cointegration Panel Data Results
Gerdtham, Ulf-G.; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998
countries for the period 1960-1995. Country-by-country and panel results based on the Johansen multivariate likelihood …-based inference and a new panel test for cointegration rank are presented. The empirical modelling is based on a bivariate vector …
Persistent link: https://www.econbiz.de/10005771158
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On stationarity and cointegration of international health expenditure and GDP
Gerdtham, Ulf-G.; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998
heterogeneous panel tests which indicate that both health expenditure and GDP are nonstationary and cointegrated around linear …
Persistent link: https://www.econbiz.de/10005423835
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Testing for common cointegrating rank in dynamic panels
Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 2000
The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a … dynamic panel given the assumption of a common cointegrating rank. This paper presents a test for this assumption. The test is … based on the test statistic of Larsson et al (1998) and a new panel test based on the principal component estimator of …
Persistent link: https://www.econbiz.de/10005207177
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Likelihood-Based Inference in Multivariate Panel Cointegration Models
Larsson, Rolf; Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999
This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating …
Persistent link: https://www.econbiz.de/10005207209
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Starting values in estimation of cointegrating vectors with restrictions
Lyhagen, Johan; Forsberg, Lars - Economics Institute for Research (SIR), … - 1999
In cointegration analysis, when considering a hypothesis of the kind beta =(H_1*phi_1,...,H_n*phi_n) the estimator is a simple switching method that requires starting values. We propose using additional restrictions, then solutions of an eigenvector problem may be used as starting values. Using...
Persistent link: https://www.econbiz.de/10005649252
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Likelihood-Based Cointegration Tests in Heterogeneous Panels
Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998
This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean …
Persistent link: https://www.econbiz.de/10005649283