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Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …

Persistent link: https://www.econbiz.de/10010484411

Monitoring cointegrating polynomial regressions : theory and application to the environmental Kuznets curves for carbon and sulfur dioxide emissions

Knorre, Fabian; Wagner, Martin; Grupe, Maximilian - In: Econometrics : open access journal 9 (2021) 1, pp. 1-35

This paper develops residual-based monitoring procedures for cointegrating polynomial regressions (CPRs), i.e., regression models including deterministic variables and integrated processes, as well as integer powers, of integrated processes as regressors. The regressors are allowed to be...

Persistent link: https://www.econbiz.de/10012503985

Cointegration in singular ARMA models

Deistler, Manfred; Wagner, Martin - In: Economics letters 155 (2017), pp. 39-42

Persistent link: https://www.econbiz.de/10011821522

Finite sample correction factors for panel cointegration tests

Hlouskova, Jaroslava; Wagner, Martin - In: Oxford bulletin of economics and statistics 71 (2009) 6, pp. 851-881

Persistent link: https://www.econbiz.de/10003898995

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - In: Econometric reviews 29 (2010) 2, pp. 182-223

Persistent link: https://www.econbiz.de/10003960501

Finite sample correction factors for panel cointegration tests

Hlouskova, Jaroslava; Wagner, Martin - 2009

Persistent link: https://www.econbiz.de/10003931103

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

This paper presents results concerning the performance of both single equation and system panel cointegration tests and … unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the … components are considered. -- cross-sectional dependence ; estimator ; panel cointegration ; simulation study ; test …

Persistent link: https://www.econbiz.de/10009736650

Integrated modified OLS estimation and fixed-b inference for cointegrating regressions

Vogelsang, Timothy J.; Wagner, Martin - In: Journal of econometrics 178 (2014) 2, pp. 741-760

Persistent link: https://www.econbiz.de/10010257671

Nonlinear cointegration analysis and the environmental Kuznets curve

Hong, Seung Hyun; Wagner, Martin - 2008

Persistent link: https://www.econbiz.de/10003735935

The performance of panel cointegration methods : results from a large scale simulation study

Wagner, Martin; Hlouskova, Jaroslava - 2007

Persistent link: https://www.econbiz.de/10003510803