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Panel Tests for Unit Roots in Hours Worked

Kappler, Marcus - 2008

-stationarity of hours worked. In addition, taking these results together, there is no indication of cointegration among the individual …

Persistent link: https://www.econbiz.de/10012727117

Fractionally Integrated Panel Data Systems

Ergemen, Yunus Emre - 2015

asymptotic normal distributions, irrespective of cointegration. A study of small-sample performance is carried out showing …

Persistent link: https://www.econbiz.de/10013031907

Nonstationary Panels, Cointegration in Panels and Dynamic Panels : A Survey

Baltagi, Badi H. - 2011

This paper provides an overview of topics in nonstationary panels: panel unit root tests, panel cointegration tests …, and estimation of panel cointegration models. In addition it surveys recent developments in dynamic panel data models …

Persistent link: https://www.econbiz.de/10013127093

Panel cointegration testing in the presence of linear time trends

Hassler, Uwe; Hosseinkouchack, Mehdi - In: Econometrics : open access journal 4 (2016) 4, pp. 1-16

We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under …

Persistent link: https://www.econbiz.de/10011650477

Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable

Kao, Chihwa - 1997

-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the asymptotics of … LSDV. In the second half of the paper we study residual-based tests for cointegration regression in panel data. We study … Dickey-Fuller (DF) tests and an augmented Dickey-Fuller (ADF) test to test the null of no cointegration. Asymptotic …

Persistent link: https://www.econbiz.de/10014060676

Real Interest Rate Parity in OECD Countries : New Evidence from Time Series and Panel Cointegration Techniques

Magonis, George - 2016

We examine the existence of Real Interest Rate Parity (RIRP) for a number of Organisation for Economic Co-operation and Development (OECD) countries. Using time series techniques, we manage to identify cointegrating relationships. For a subset of countries our findings suggest the existence of a...

Persistent link: https://www.econbiz.de/10013007999