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Likelihood-based cointegration tests in heterogeneous panels

Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - 1998

Persistent link: https://www.econbiz.de/10000991637

Likelihood-based cointegration tests in heterogeneous panels

Larsson, Rolf; Lyhagen, Johan; Löthgren, Mickael - In: The econometrics journal 4 (2001) 1, pp. 109-142

Persistent link: https://www.econbiz.de/10001612299

Testing for stationarity in heterogeneous panel data where the time dimension is finite

Hadri, Kaddour; Larsson, Rolf - In: The econometrics journal 8 (2005) 1, pp. 55-69

Persistent link: https://www.econbiz.de/10002686793

Likelihood-Based Cointegration Tests in Heterogeneous Panels

Larsson, Rolf; Lyhagen, Johan; Lothgren, Mickael - 2001

This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on...

Persistent link: https://www.econbiz.de/10014125960

A note on the pooling of individual panic unit root tests

Westerlund, Joakim; Larsson, Rolf - In: Econometric theory 25 (2009) 6, pp. 1851-1868

Persistent link: https://www.econbiz.de/10003904449

Testing for a unit root in a random coefficient panel data model

Westerlund, Joakim; Larsson, Rolf - In: Journal of econometrics 167 (2012) 1, pp. 254-273

Persistent link: https://www.econbiz.de/10009551420

Testing for a unit root in a random coefficient panel data mode

Westerlund, Joakim; Larsson, Rolf - 2009

Persistent link: https://www.econbiz.de/10003884484

Inflation, exchange rates and PPP in a multivariate panel cointegration model

Jacobson, Tor; Lyhagen, Johan; Larsson, Rolf; Nessén, … - In: The econometrics journal 11 (2008) 1, pp. 58-79

Persistent link: https://www.econbiz.de/10003648613

Inference in panel cointegration models with long panels

Larsson, Rolf; Lyhagen, Johan - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 4, pp. 473-483

Persistent link: https://www.econbiz.de/10003566064

New tools for understanding the local asymptotic power of panel unit root tests

Westerlund, Joakim; Larsson, Rolf - In: Journal of econometrics 188 (2015) 1, pp. 59-93

Persistent link: https://www.econbiz.de/10011500261