Add to ORKGIn this paper, we study the effect that different serial correlation adjustment methods can have on panel cointegration testing. As an example, we consider the very popular tests developed by Pedroni (1999, 2004). Results based on both simulated and real data suggest that different adjustment methods can lead to significant variations in test outcome, and thus also in the conclusions
With the advent of the results on non-stationary data in time series econometrics and the increased ...
The purpose of this paper is to propose a new likelihood-based panel cointegration test in the prese...
This paper reviews recent developments in the analysis of non-stationary panels, focusing on empiric...
In this paper, we study the effect that different serial correlation adjustment methods can have on ...
In this paper, we study the effect that different serial correlation adjustment methods can have on ...
Time series cointegration tests, even in the presence of large sample sizes, often yield conflictin...
This thesis develops new techniques for analyzing cointegrated relationships in panel data. The firs...
The main aim of this paper is to compare the size and size-adjusted power properties of four residua...
This paper enlarges on Karlsoon and Löthgreen’s (2000) results on panel unit root tests to panel coi...
We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] ...
Panel unit-root and no-cointegration tests that rely on cross-sectional independence of the panel un...
This dissertation investigates an asymptotic theory of cointegration in panel data covering spurious...
This paper reviews recent developments in the analysis of non-stationary panels, focusing on empiric...
Stability tests for cointegrating coefficients are known to have very low power with small to medium...
Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel un...
With the advent of the results on non-stationary data in time series econometrics and the increased ...
The purpose of this paper is to propose a new likelihood-based panel cointegration test in the prese...
This paper reviews recent developments in the analysis of non-stationary panels, focusing on empiric...
In this paper, we study the effect that different serial correlation adjustment methods can have on ...
In this paper, we study the effect that different serial correlation adjustment methods can have on ...
Time series cointegration tests, even in the presence of large sample sizes, often yield conflictin...
This thesis develops new techniques for analyzing cointegrated relationships in panel data. The firs...
The main aim of this paper is to compare the size and size-adjusted power properties of four residua...
This paper enlarges on Karlsoon and Löthgreen’s (2000) results on panel unit root tests to panel coi...
We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] ...
Panel unit-root and no-cointegration tests that rely on cross-sectional independence of the panel un...
This dissertation investigates an asymptotic theory of cointegration in panel data covering spurious...
This paper reviews recent developments in the analysis of non-stationary panels, focusing on empiric...
Stability tests for cointegrating coefficients are known to have very low power with small to medium...
Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel un...
With the advent of the results on non-stationary data in time series econometrics and the increased ...
The purpose of this paper is to propose a new likelihood-based panel cointegration test in the prese...
This paper reviews recent developments in the analysis of non-stationary panels, focusing on empiric...