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Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis - MaRDI portal

Testing for panel cointegration in an error-correction framework with an application to the Fisher hypothesis

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Publication:5267868

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DOI10.1080/03610918.2015.1011332zbMath1422.62198OpenAlexW1539827680MaRDI QIDQ5267868

Pär Sjölander, Ghazi Shukur, Kristofer Månsson

Publication date: 13 June 2017

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

Full work available at URL: https://doi.org/10.1080/03610918.2015.1011332

zbMATH Keywords

power size white noise panel cointegration error correction multivariate tests Fisher hypothesis

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) White noise theory (60H40)

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