Nonlinear error correction based cointegration test in panel data

DOI10.1016/J.ECONLET.2017.05.017zbMath1401.62172OpenAlexW2616888789MaRDI QIDQ1782283

Tolga Omay, Furkan Emirmahmutoglu, Zulal S. Denaux

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.05.017

zbMATH Keywords

sieve bootstrapnonlinear error correction modelmodified Wald testcross section dependency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Cites Work

• Testing joint hypotheses when one of the alternatives is one-sided
• Residual based tests for cointegration in dependent panels
• Testing for unit root in nonlinear heterogeneous panels
• A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL
• Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS

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