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Testing cointegration relationship in a semiparametric varying coefficient model

Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70

Persistent link: https://www.econbiz.de/10010255469

Pitfalls in bootstrapping spurious regression

Phillips, Peter C. B. - In: Journal of quantitative economics 19 (2021), pp. 163-217

Persistent link: https://www.econbiz.de/10013441715

Controlling heterogeneous structure of smooth breaks in panel unit root and cointegration testing

Omay, Tolga; Iren, Perihan - In: Computational economics 61 (2023) 1, pp. 233-265

Persistent link: https://www.econbiz.de/10014228424

On bootstrap implementation of likelihood ratio test for a unit root

Skrobotov, Anton - In: Economics letters 171 (2018), pp. 154-158

Persistent link: https://www.econbiz.de/10012021848

Estimation bias and bias correction in reduced rank autoregressions

Bohn Nielsen, Heino - In: Econometric reviews 38 (2019) 3, pp. 332-349

Persistent link: https://www.econbiz.de/10012181296

Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 2, pp. 813-831

Persistent link: https://www.econbiz.de/10011350499

Purchasing power parity : a unit root, cointegration and VAR analysis in emerging and advanced countries

Loukopoulos, Georgios; Antonopoulos, Dimitrios - In: Business and Economic Research : BER 5 (2015) 1, pp. 262-279

Persistent link: https://www.econbiz.de/10011344182

Multiple structural breaks in cointegrating regressions : a model selection approach

Schmidt, Alexander; Schweikert, Karsten - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 2, pp. 219-254

Persistent link: https://www.econbiz.de/10013334688

The recent effects of exchange rate on international trade

Choi, Myoung Shik - In: Prague economic papers : a bimonthly journal of … 26 (2017) 6, pp. 661-689

Persistent link: https://www.econbiz.de/10011780227

Asymptotics for Non-Stationary Panels with High-Dimensional Nuisance Parameters

Cao, Dingxian - 2022

This paper studies asymptotic theory for a nonstationary panel autoregressive model when cross-sectional dimension (n) and time dimension (T) are large. We considers the nonstationary case in the presence of both cross-sectional and time fixed effects, which is not investigated in existing...

Persistent link: https://www.econbiz.de/10014083467