A Meta Analytic Approach to Testing for Panel Cointegration

DOI10.1080/03610910902750039zbMath1161.62402OpenAlexW2103470614MaRDI QIDQ3625368

Christoph Hanck

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910902750039

zbMATH Keywords

tablesMonte Carlo studymeta analysispanel cointegration tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Monte Carlo methods (65C05)

Related Items (2)

Intersection tests for the cointegrating rank in dependent panel data ⋮ The error-in-rejection probability of meta-analytic panel tests

Cites Work

• Unnamed Item
• Bootstrapping cointegrating regressions
• Statistical analysis of cointegration vectors
• Spurious regression and residual-based tests for cointegration in panel data
• Five alternative methods of estimating long-run equilibrium relationships
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• The error-in-rejection probability of meta-analytic panel tests
• Asymptotic Properties of Residual Based Tests for Cointegration
• Testing for unit roots in autoregressive-moving average models of unknown order
• A residual-based test of the null of cointegration in panel data
• A Sieve Bootstrap For The Test Of A Unit Root
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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