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An intersection test for the cointegrating rank in dependent panel data

Arsova, Antonia; Karaman Örsal, Deniz Dilan - 2016

This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes’ (1986) intersection test and requires only the...

Persistent link: https://www.econbiz.de/10011453075

Is the ‘Euro Effect’ on Trade So Small After All? New Evidence Using Gravity Equations With Panel Cointegration Techniques

Gomez-Herrera, Estrella - 2019

cointegration tests and estimators that account for both cross-section dependence in the data and discontinuities in the …

Persistent link: https://www.econbiz.de/10012890063

IV-based cointegration testing in dependent panels with time-varying variance

Demetrescu, Matei; Hanck, Christoph; Tarcolea, Adina Ioana - 2012 - This version: November 10, 2011

While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional … attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to … covariates, and for any variance profile. Furthermore, a test for the null of no cointegration - in effect, a joint test against …

Persistent link: https://www.econbiz.de/10009672473

Nonparametric rank tests for non-stationary panels

Pedroni, Peter Louis; Vogelsang, Timothy J.; Wagner, Martin - 2011

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence … roots ; cointegration ; cross-sectional dependence …

Persistent link: https://www.econbiz.de/10009686205

Nonparametric rank tests for non-stationary panels

Pedroni, Peter Louis; Vogelsang, Timothy J.; Wagner, Martin - 2011

-unit cointegration, without the need to specify the form of dependence or estimate nuisance parameters associated with the dependence …

Persistent link: https://www.econbiz.de/10009228950

Unit Roots and Cointegration in Panels

Breitung, Jörg - 2016

This paper provides a review of the literature on unit roots and cointegration …

Persistent link: https://www.econbiz.de/10012991206

Testing for panel cointegration using common correlated effects estimators

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017

used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …

Persistent link: https://www.econbiz.de/10012010208

A Panel Bounds Testing Procedure

Bertsatos, Georgios; Sakellaris, Plutarchos; Tsionas, Mike - 2022

We propose a bounds testing procedure (BTP) with a battery of tests for the existence of a non-degenerate co-integrating relationship in levels, for long panels. It is a natural extension to panel data of the respective approach in time series as described by Pesaran, Shin and Smith (2001) and...

Persistent link: https://www.econbiz.de/10013294020

Cointegration in Panel Data with Breaks and Cross-Section Dependence

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2021

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …

Persistent link: https://www.econbiz.de/10013317662

Unit Roots and Cointegration in Panels

Breitung, Jörg; Pesaran, M. Hashem - 2021

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

Persistent link: https://www.econbiz.de/10013318328