Likelihood‐based cointegration tests in heterogeneous panels

DOI10.1111/1368-423X.00059zbMath0983.62086MaRDI QIDQ2772843

Mickael Löthgren, Rolf Larsson, Johan Lyhagen

Publication date: 11 April 2002

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

tablescointegrationpanel dataconsumption model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Related Items (16)

Panel cointegration testing in the presence of a time trend ⋮ Panel Data Analysis ⋮ Estimation of dynamic panel spatial vector autoregression: stability and spatial multivariate cointegration ⋮ The long-run determinants of fertility: one century of demographic change 1900--1999 ⋮ Inflation, exchange rates and PPP in a multivariate panel cointegration model ⋮ Corrigendum to ‘Likelihood‐based cointegration tests in heterogeneous panels’ (Larsson R., J. Lyhagen and M. Löthgren,Econometrics Journal, 4, 2001, 109–142) ⋮ New Simple Tests for Panel Cointegration ⋮ Testing for stationarity in heterogeneous panel data where the time dimension is finite ⋮ The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study ⋮ Money demand function versus monetary integration: Revisiting panel cointegration among GCC countries ⋮ Pushing the limit? Fiscal policy in the European Monetary Union ⋮ The Estimation and Inference of a Panel Cointegration Model with a Time Trend ⋮ Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity ⋮ Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence ⋮ Stationary bootstrapping for panel cointegration tests under cross-sectional dependence ⋮ New tools for understanding the local asymptotic power of panel unit root tests

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