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Rank based cointegration testing for dynamic panels with fixed T

In this paper, we show that the cointegration testing procedure of Binder et al. (Econom Theory 21:795–837, 2005) for Panel Vector Autoregressive model of order 1, PVAR(1) is not valid due to the singularity of the hessian matrix. As an alternative we propose a method of moments based procedure usin...

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Detalles Bibliográficos
Autor principal: Juodis, Artūras
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2017
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6428355/
https://www.ncbi.nlm.nih.gov/pubmed/30956388
http://dx.doi.org/10.1007/s00181-017-1304-8