Cross-sectional correlation robust tests for panel cointegration

DOI10.1080/02664760802510042zbMath1473.62308OpenAlexW2151029387MaRDI QIDQ3184499

Christoph Hanck

Publication date: 21 October 2009

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/23129

zbMATH Keywords

sieve bootstrapcross-sectional dependencepanel cointegration tests

Mathematics Subject Classification ID

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

Related Items (3)

An adaptive truncated product method for combining dependent \(p\)-values ⋮ Residual based tests for cointegration in dependent panels ⋮ Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions

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