The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Spurious regression and residual-based tests for cointegration in panel data
Open accessAbstract
In the first half of the paper I study spurious regressions in panel data. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. The asymptotics of LSDV estimator are different from those of the spurious regression in the pure time-series. This has an important consequence for residual-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the asymptotics of LSDV estimator. In the second half of the paper I study residual-based tests for cointegration regression in panel data. I study Dickey–Fuller (DF) tests and an augmented Dickey–Fuller (ADF) test to test the null of no cointegration. Asymptotic distributions of the tests are derived and Monte Carlo experiments are conducted to evaluate finite sample properties of the proposed tests.
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Citations
Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
Testing for unit roots in heterogeneous panels
Im, K. S., Pesaran, M. H., & Shin, Y. (2003) · Journal of Econometrics · doi:10.1016/s0304-4076(03)00092-7 · Cited by 15,435
Estimating long-run relationships from dynamic heterogeneous panels
Pesaran, M. H., & Smith, R. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01644-f · Cited by 5,479 · cited 2×
“Pesaran and Smith (1995) are not directly concerned with cointegration but do touch on a number of related issues, including the potential problems of homogeneity misspecification for cointegrated panels.”
Background
Research works printed but not linked: 9
- Breitung, 1994, Testing for unit roots in panel data: Are wages on different bargaining levels cointegrated? Applied Economics, 26, 353
- Gonzalo, 1994, Five alternative methods of estimating long-run equilibrium relationships, Journal of Econometrics, 60, 203, 10.1016/0304-4076(94)90044-2 · DOI · Paper page
- Hansen, 1992, Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends, Journal of Econometrics, 53, 87, 10.1016/0304-4076(92)90081-2 · DOI
- Haug, 1996, Tests for cointegration: A Monte Carlo comparison, Journal of Econometrics, 71, 89, 10.1016/0304-4076(94)01696-8 · DOI · Paper page
- Kao, C., Chiang, M.-H., 1997. On the estimation and inference of a cointegrated regression in panel data. Econometric Theory, Under Revision. · DOI · Paper page
- McCoskey, S., Kao, C., 1998. A residual-based test of the null of cointegration in panel data. Econometric Reviews 17, 57–84. · DOI · Paper page
- Phillips, 1990, Asymptotic properties of residual based test for cointegration, Econometrica, 58, 165, 10.2307/2938339 · DOI · Paper page
- Phillips, 1988, Testing for unit root in time series regression, Biometrika, 75, 335, 10.1093/biomet/75.2.335 · DOI · Paper page
- Quah, 1994, Exploiting cross section variation for unit root inference in dynamic data, Economics Letters, 44, 9, 10.1016/0165-1765(93)00302-5 · DOI · Paper page
Cited by
(2001) · RePEc: Research Papers in Economics · Cited by 27,577
Estimating dynamic panel data models: a guide for macroeconomists
Judson, R. A., & Owen, A. L. (1999) · Economics Letters · doi:10.1016/s0165-1765(99)00130-5 · Cited by 2,171
Lin, B., & Zhu, J. (2019) · Science of The Total Environment · doi:10.1016/j.scitotenv.2018.12.449 · Cited by 475
Green investment: Trends and determinants
Eyraud, L., Clements, B., & Wane, A. (2013) · Energy Policy · doi:10.1016/j.enpol.2013.04.039 · Cited by 452
OIL PRICES AND STOCK MARKETS IN GCC COUNTRIES: EMPIRICAL EVIDENCE FROM PANEL ANALYSIS
Arouri, M. E. H., & Rault, C. (2012) · International Journal of Finance & Economics · doi:10.1002/ijfe.443 · Cited by 375
Metadata
- Authors
- Kao, C.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1999-05
- Volume
- 90
- Issue
- 1
- Pages
- 1-44
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2125331782
- Cited by
- 5,763
- References
- 3
- FWCI
- 61.89
- Type
- journal article
- Language
- en
- Open access
- hybrid
- Licence
- www.elsevier.com/tdm/userlicense/1.0/ (tdm)
- www.elsevier.com/legal/tdmrep-license (tdm)
- creativecommons.org/licenses/by-nc-nd/4.0/ (vor, 630 d)
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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