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Estimation and inference in short panel vector autoregressions with unit roots and cointegration

Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - 2000

derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

Persistent link: https://www.econbiz.de/10009786715

Are US real house prices stationary? : new evidence from univariate and panel data

Zhang, Jing; Jong, Robert M. de; Haurin, Donald R. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10011431067

Unit root and cointegration tests : time-series versus panel estimates for international health expenditure models

Okunade, Albert A.; Karakus, Mustafa C. - In: Applied economics 33 (2001) 9, pp. 1131-1137

Persistent link: https://www.econbiz.de/10001595340

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