A residual-based test of the null of cointegration in panel data

DOI10.1080/07474939808800403zbMath0896.62131OpenAlexW2014587538MaRDI QIDQ4385001

Chihwa Kao, Suzanne K. McCoskey

Publication date: 27 September 1998

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939808800403

zbMATH Keywords

Monte Carlocointegrationpanel datanonstationary time serieslocally best unbiased invariantresidual-based Lagrange multiplier test

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) Economic time series analysis (91B84)

Related Items (18)

Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates ⋮ Panel Data Analysis ⋮ Micro versus macro cointegration in heterogeneous panels ⋮ Cross-sectional correlation robust tests for panel cointegration ⋮ INSURANCE AND REAL OUTPUT: THE KEY ROLE OF BANKING ACTIVITIES ⋮ Reducing the size distortions of the panel LM test for cointegration ⋮ A panel bootstrap cointegration test ⋮ FDI inflows, economic growth, and governance quality trilogy in developing countries: A panel VAR analysis ⋮ Bootstrap unit root tests in panels with cross-sectional dependency ⋮ Inferential theory for heterogeneity and cointegration in large panels ⋮ New Simple Tests for Panel Cointegration ⋮ The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study ⋮ The Estimation and Inference of a Panel Cointegration Model with a Time Trend ⋮ Residual based tests for cointegration in dependent panels ⋮ A Meta Analytic Approach to Testing for Panel Cointegration ⋮ The long-run relationship between productivity and capital ⋮ Spurious regression and residual-based tests for cointegration in panel data ⋮ Nonstationary panel data analysis: an overview of some recent developments

Cites Work

• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Estimating Long-Run Economic Equilibria
• Understanding spurious regressions in econometrics
• Exploiting cross-section variation for unit root inference in dynamic data
• Multiple Time Series Regression with Integrated Processes
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Time Series Regression with a Unit Root
• Testing for a Moving Average Unit Root in Autoregressive Integrated Moving Average Models

This page was built for publication: A residual-based test of the null of cointegration in panel data