Cited by 20,385Monetary Policy and Economic ImpactDiverse Scientific and Economic StudiesSpatial and Panel Data Analysis

The DOI matches its Crossref record; 44 of the 44 references it cites were found in a registry or an index.

Bounds testing approaches to the analysis of level relationships

Pesaran, M. Hashem, Shin, Yongcheol, Smith, Richard J.·2001·Journal of Applied Econometrics

Abstract

Abstract This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend‐ or first‐difference stationary. The proposed tests are based on standard F ‐ and t ‐statistics used to test the significance of the lagged levels of the variables in a univariate equilibrium correction mechanism. The asymptotic distributions of these statistics are non‐standard under the null hypothesis that there exists no level relationship, irrespective of whether the regressors are I (0) or I (1). Two sets of asymptotic critical values are provided: one when all regressors are purely I (1) and the other if they are all purely I (0). These two sets of critical values provide a band covering all possible classifications of the regressors into purely I (0), purely I (1) or mutually cointegrated. Accordingly, various bounds testing procedures are proposed. It is shown that the proposed tests are consistent, and their asymptotic distribution under the null and suitably defined local alternatives are derived. The empirical relevance of the bounds procedures is demonstrated by a re‐examination of the earnings equation included in the UK Treasury macroeconometric model. Copyright © 2001 John Wiley & Sons, Ltd.

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Crossref · 10.1002/jae.616

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Research works printed but not linked: 2

  1. Boswijk P, 1992, Cointegration, Identification and Exogeneity: Inference in Structural Error Correction Models
  2. Park JY, 1990, Advances in Econometrics: Cointegration, Spurious Regressions and Unit Roots

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Metadata

Authors
Pesaran, M. H., Shin, Y., & Smith, R. J.
Affiliations
  • University of Cambridge (GB)
  • University of Edinburgh (GB)
  • University of Bristol (GB)
Corresponding author
Pesaran, M. Hashem
Venue
Journal of Applied Econometrics
Publisher
Wiley
Published
2001-05
Volume
16
Issue
3
Pages
289-326
ISSN
  • 0883-7252 (ISSN-L)
  • 1099-1255
OpenAlex
W1966910378
Cited by
20,385
References
44
Citations by year
2026: 1722 · 2025: 1743 · 2024: 1890 · 2023: 2335 · 2022: 2077 · 2021: 1924 · 2020: 1602 · 2019: 1183 · 2018: 882 · 2017: 796 · 2016: 634 · 2015: 601 · 2014: 564 · 2013: 484 · 2012: 391
FWCI
84.06
Type
journal article
Language
en
Open access
closed
Locations
Journal of Applied Econometrics (publishedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Diverse Scientific and Economic Studies
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
Keywords
bounds testing, cointegration, asymptotic critical values, local alternatives, earnings equations

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