Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable

Keywords

Cointegration, Spurious relationship, Residual, Statistics, Mathematics

References

• Seemingly Unrelated Canonical Cointegrating RegressionsJoon Park, Masao Ogaki — 1991
• Exploiting Cross Section Variation for Unit Root Inference in Dynamic DataDanny Quah — 1993
• Estimating Long-Run Relationships From Dynamic Heterogeneous PanelsM. Hashem Pesaran, Ron Smith — 1995
• Testing for unit roots in panel data: are wages on different bargaining levels cointegrated?Jörg Breitung, Wolfgang Meyer — 1994
• A Residual-Based Test Of The Null Of Cointegration In Panel DataSuzanne McCoskey, Chihwa Kao — 1997
• Tests for cointegration a Monte Carlo comparisonAlfred A. Haug — 1996
• Efficient estimation and testing of cointegrating vectors in the presence of deterministic trendsBruce E. Hansen — 1992
• Testing for a Unit Root in Time Series RegressionPeter C.B. Phillips, Pierre Perrón — 1988
• Asymptotic Properties of Residual Based Tests for CointegrationP. C. B. Phillips, Sam Ouliaris — 1990
• Co-integration and error correction: representation, estimation and testingRobert F. Engle, C. W. J. Granger — 1987
• Understanding spurious regressions in econometricsPeter C.B. Phillips — 1986
• Time series regression with a unit rootP. C. B. Phillips — 1987
• Spurious regressions in econometricsClive W. J. Granger, Paul Newbold — 1974
• Probability and MeasureLucy Clarke — 1980
• On the Estimation and Inference of a Cointegrated Regression in Panel DataChihwa Kao, Min‐Hsien Chiang — 1997

Cited by

• The Relationship between Domestic Credit and Income: Evidence from Latin AmericaGiray Gözgör, Kutay Gözgör — 2013
• Productividad total de los factores y capital tecnológico: un análisis comparadoJaime Jesús Sanaú Villarroya, Sara Barcenilla Visús, Carmen López Pueyo — 2006
• An assessment of the sustainability of current account imbalances in OECD countriesMaría Amparo Camarero Olivas, Josep Lluís Carrion‐i‐Silvestre, Cecilio Ricardo Tamarit Escalona — 2009
• Impacto de las Patentes Sobre el Crecimiento Económico: Un Modelo Panel Cointegrado (Impact of Patents on Economic Growth: A Cointegrated Panel Data Model)Jacobo Campo Robledo — 2012
• Information-Communication Technology Impact on Labor Productivity Growth of EU Developing CountriesLjiljana Lovrić — 2012
• The Long-Term Relationship between Population Growth and Vegetation Cover: An Empirical Analysis Based on the Panel Data of 21 Cities in Guangdong Province, ChinaEmmanuelle André — 2013
• TRADE RESTRICTIONS AND AFRICA'S EXPORTSOlayinka Idowu Kareem — 2009
• Income Inequality and Economic Growth in the U.S.:A Panel Cointegration ApproachMark W. Frank — 2005
• In Search of Aggregate Production Function SpecificationJagath Dissanayake, Jayanthi Thennakoon — 2014
• A Gravity Model Approach To Analyzing The Trade Performance Of Caricom Member StatesAntonio Alleyne, Troy Lorde — 2014
• Estimation and inference in cross-sectionally dependent panel data modelsHande Karabiyik — 2015
• Estimation and inference with non-stationary panel time-series data.Ron Smith — 2001
• Determinants of Real Exchange Rates: An Empirical InvestigationVikas Kakkar, Isabel K. Yan — 2014
• Does German Development Aid boost German Exports and German Employment? A Sectoral Level AnalysisInmaculada Martínez‐Zarzoso, Felicitas Nowak‐Lehmann, Stephan Klasen — 2016
• Oil Price and Exchange Rate Relationship for ASEAN-5 Countries: A Panel Study ApproachMukhriz Izraf, Azman Aziz, Jauhari Dahalan — 2013
• Geographical Concentration of Manufacturing Industries in Java Region, IndonesiaSetyo Tri Wahyudi — 2011
• Estimation of the money demand function on a heterogeneous panel for selected Asian countriesMohammed Nur Hussain, Albert Wijeweera — 2013
• Weather Risk and Cropping Intensity: A Non-Stationary and Dynamic Panel Modeling ApproachAditya R. Khanal, Ashok K. Mishra, Madhusudan Bhattarai — 2014
• The Contribution of Infrastructure to Aggregate OutputDavid Canning — 1999
• Panel Co-integration Analysis of Cigarette Taxes and Health: The Case of Respiratory CancersHsin-Ling Hsieh — 2009

Related papers

• Numerical Distribution Functions for Unit Root and Cointegration TestsJames G. MacKinnon — 1996
• Panel Cointegration Tests with Deterministic Trends and Structural BreaksJoakim Westerlund — 2005
• Asymptotic Properties of Residual Based Tests for CointegrationPeter C.B. Phillips, Sam Ouliaris — 1988
• Residual based tests for cointegration in dependent panelsYoosoon Chang, Chi M. Nguyen — 2012
• New Simple Tests for Panel CointegrationJoakim Westerlund — 2005
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparisonElena Pesavento — 2007