New Simple Tests for Panel Cointegration

DOI10.1080/07474930500243019zbMath1072.62087OpenAlexW2126383263MaRDI QIDQ5697354

Joakim Westerlund

Publication date: 17 October 2005

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

Full work available at URL: https://doi.org/10.1080/07474930500243019

zbMATH Keywords

Monte Carlo simulationpanel cointegrationresidual-based tests

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05)

Related Items (7)

Cross-sectional correlation robust tests for panel cointegration ⋮ FDI inflows, economic growth, and governance quality trilogy in developing countries: A panel VAR analysis ⋮ The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study ⋮ The effects of cross-section dimension \(n\) in panel co-integration test ⋮ A spatio-temporal model of house prices in the USA ⋮ Residual based tests for cointegration in dependent panels ⋮ Stationary bootstrapping for panel cointegration tests under cross-sectional dependence

Cites Work

• Statistical analysis of cointegration vectors
• Asymptotics for linear processes
• Spurious regression and residual-based tests for cointegration in panel data
• A CUSUM test for cointegration using regression residuals
• Nonparametric tests for unit roots and cointegration.
• Likelihood‐based cointegration tests in heterogeneous panels
• Some cautions on the use of panel methods for integrated series of macroeconomic data
• Asymptotic Properties of Residual Based Tests for Cointegration
• A residual-based test of the null of cointegration in panel data
• Linear Regression Limit Theory for Nonstationary Panel Data
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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