A Meta Analytic Approach to Testing for Panel Cointegration
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Publication:3625368
DOI10.1080/03610910902750039zbMath1161.62402OpenAlexW2103470614MaRDI QIDQ3625368
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
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
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- 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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