ESTIMATION OF THE LONG-RUN AVERAGE RELATIONSHIP IN NONSTATIONARY PANEL TIME SERIES

DOI10.1017/S0266466604206077zbMath1069.62071MaRDI QIDQ5314887

Yixiao Sun

Publication date: 5 September 2005

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

zbMATH Keywords

panel cointegrationpanel spurious regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

COMMON STOCHASTIC TRENDS AND AGGREGATION IN HETEROGENEOUS PANELS ⋮ On the asymptotic \(t\)-test for large nonstationary panel models ⋮ IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS

Cites Work

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