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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer Berlin Heidelberg
2017
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| 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 |