Residual based tests for cointegration in dependent panels

DOI10.1016/j.jeconom.2011.09.032zbMath1441.62632OpenAlexW2062013086MaRDI QIDQ738179

Chi Mai Nguyen, Yoosoon Chang

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.09.032

zbMATH Keywords

cross-sectional dependencynonstationary panelpanel cointegration teststesting instruments

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

IV‐BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME‐VARYING VARIANCE ⋮ Nonlinear error correction based cointegration test in panel data ⋮ NONSTATIONARY NONLINEARITY: A SURVEY ON PETER PHILLIPS’S CONTRIBUTIONS WITH A NEW PERSPECTIVE

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