Testing for Panel Cointegration Using Common Correlated Effects Estimators
نویسندگان
چکیده
منابع مشابه
Cointegration analysis using M estimators
Tests for cointegration are developed using multivariate M estimators. The tests are based on analyzing the singular values of the parameter estimates standardized by the covariance matrix and do not require a reduced rank estimator. 2001 Elsevier Science B.V. All rights reserved.
متن کاملA Meta Analytic Approach to Testing for Panel Cointegration
We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widel...
متن کاملwww.econstor.eu A Meta Analytic Approach to Testing for Panel Cointegration
We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widel...
متن کاملTesting for Cointegration using Induced-Order Statistics
In this paper we explore the usefulness of induced-order statistics in the characterization of integrated series and of cointegration relationships. We propose a non-parametric test statistic for testing the null hypothesis of two independent random walks against wide cointegrating alternatives including monotonic nonlinearities and certain types of level shifts in the cointegration relationshi...
متن کاملTesting for Cointegration Rank Using Bayes Factors
This paper proposes Bayesian methods for estimating the cointegration rank using Bayes factors. We consider natural conjugate priors for computing Bayes factors. First, we estimate the cointegrating vectors for each possible rank. Then, we compute the Bayes factors for each rank against 0 rank. Monte Carlo simulations show that using Bayes factor with conjugate priors produces fairly good resul...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2017
ISSN: 0143-9782
DOI: 10.1111/jtsa.12234