Similar Search Results

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

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

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

Cao, Dingxian - 2022

Persistent link: https://www.econbiz.de/10014083468

Bootstrap LR Tests of Stationarity, Common Trends and Cointegration

Busetti, Fabio - 2011

power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … series. As the distribution of these tests is not known, a bootstrap version is proposed via a state space representation …

Persistent link: https://www.econbiz.de/10013125622