Estimating cointegrating relations from a cross section

DOI10.1111/J.1368-423X.2005.00170.XzbMath1078.62095OpenAlexW2157564424MaRDI QIDQ3367411

Edith Madsen

Publication date: 24 January 2006

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

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00170.x

zbMATH Keywords

dynamic panel data modelsnon-stationary panel datacross-section regressioncointegrating relations

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)

Related Items (1)

Unit root inference in panel data models where the time‐series dimension is fixed: a comparison of different tests

Cites Work

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• Understanding spurious regressions in econometrics
• Estimating long-run relationships from dynamic heterogeneous panels
• Linear Regression Limit Theory for Nonstationary Panel Data
• Panel Data Econometrics

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