Panel cointegration testing in the presence of a time trend

DOI10.1016/j.csda.2012.05.017zbMath1506.62091OpenAlexW1993798391WikidataQ58288719 ScholiaQ58288719MaRDI QIDQ1623538

Deniz Dilan Karaman Örsal, Bernd Droge

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://fox.leuphana.de/portal/de/publications/panel-cointegration-testing-in-the-presence-of-a-time-trend(77af4986-537a-4b4d-b571-7116e9ba81a8).html

zbMATH Keywords

Monte Carlo studylikelihood ratiotime trendpanel cointegration test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items

Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence

Uses Software

• JStatCom

Cites Work

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• Approximation Theorems of Mathematical Statistics
• Testing for Common Trends
• A canonical analysis of multiple time series
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• APPROXIMATION OF THE ASYMPTOTIC DISTRIBUTION OF THE LOG LIKELIHOOD RATIO TEST FOR COINTEGRATION
• Linear Regression Limit Theory for Nonstationary Panel Data
• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
• Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes
• Corrigendum to ‘Likelihood‐based cointegration tests in heterogeneous panels’ (Larsson R., J. Lyhagen and M. Löthgren,Econometrics Journal, 4, 2001, 109–142)