The Estimation and Inference of a Panel Cointegration Model with a Time Trend

DOI10.1080/03610920601076891zbMath1115.62028OpenAlexW1993902673MaRDI QIDQ3593542

Chihwa Kao, Chih-Hsien Lo, Min-Hsien Chiang

Publication date: 23 July 2007

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920601076891

zbMATH Keywords

panel cointegrationtime trendnonstationary panel

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends
• Spurious regression and residual-based tests for cointegration in panel data
• Likelihood‐based cointegration tests in heterogeneous panels
• A residual-based test of the null of cointegration in panel data
• Linear Regression Limit Theory for Nonstationary Panel Data
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

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