Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference

DOI10.1080/07474938.2023.2178141MaRDI QIDQ6176093

Martin Wagner, Unnamed Author

Publication date: 25 July 2023

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

zbMATH Keywords

panel datadriftcross-section dependencecointegrating polynomial regressionfully modified OLSgroup-mean estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
• COINTEGRATING POLYNOMIAL REGRESSIONS: FULLY MODIFIED OLS ESTIMATION AND INFERENCE
• Inference in Linear Time Series Models with some Unit Roots
• The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study
• REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
• Asymptotic Normality, When Regressors Have a Unit Root
• Linear Regression Limit Theory for Nonstationary Panel Data
• Nonlinear Regressions with Integrated Time Series

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