This thesis develops new techniques for analyzing cointegrated relationships in panel data. The first chapter is introductory while the remaining six contain the main contributions. The second chapter is concerned with the estimation of a cointegrated panel relation with endogenous regressors, while the third is concerned with developing a new panel cointegration test that takes cointegration as the null hypothesis. The test proposed in the fourth chapter is for the same null but is more general in the sence that it allows for multiple structural breaks in the cointegration relation. Empirical evidence suggests that the Fisher hypothesis does not hold. The fifth chapter shows that these results can be attributed to the low power of conventional time series tests and that the use of panel data can generate more precise tests. In the sixth chapter, four new and fully parametric panel error correction based tests are proposed, while in the seventh and final chapter two nonparametric tests are developed.
This thesis develops new techniques for analyzing cointegrated relationships in panel data. The first chapter is introductory while the remaining six contain the main contributions. The second chapter is concerned with the estimation of a cointegrated panel relation with endogenous regressors, while the third is concerned with developing a new panel cointegration test that takes cointegration as the null hypothesis. The test proposed in the fourth chapter is for the same null but is more general in the sence that it allows for multiple structural breaks in the cointegration relation. Empirical evidence suggests that the Fisher hypothesis does not hold. The fifth chapter shows that these results can be attributed to the low power of conventional time series tests and that the use of panel data can generate more precise tests. In the sixth chapter, four new and fully parametric panel error correction based tests are proposed, while in the seventh and final chapter two nonparametric tests are developed.
This volume is dedicated to two recent intensive areas of research in the econometrics of panel data, namely nonstationary panels and dynamic panels. It includes a comprehensive survey of the...
This workbook is a companion to the textbook Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, also published by Oxford University Press. The workbook contains exercises and...
The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive...
Discover your next great read at BookLoop, Australiand online bookstore offering a vast selection of titles across various genres and interests. Whether you're curious about what's trending or searching for graphic novels that captivate, thrilling crime and mystery fiction, or exhilarating action and adventure stories, our curated collections have something for every reader. Delve into imaginative fantasy worlds or explore the realms of science fiction that challenge the boundaries of reality. Fans of contemporary narratives will find compelling stories in our contemporary fiction section. Embark on epic journeys with our fantasy and science fiction titles,
Shop Trending Books and New Releases
Explore our new releases for the most recent additions in romance books, fantasy books, graphic novels, crime and mystery books, science fiction books as well as biographies, cookbooks, self help books, tarot cards, fortunetelling and much more. With titles covering current trends, booktok and bookstagram recommendations, and emerging authors, BookLoop remains your go-to local australian bookstore for buying books online across all book genres.
Shop Best Books By Collection
Stay updated with the literary world by browsing our trending books, featuring the latest bestsellers and critically acclaimed works. Explore titles from popular brands like Minecraft, Pokemon, Star Wars, Bluey, Lonely Planet, ABIA award winners, Peppa Pig, and our specialised collection of ADHD books. At BookLoop, we are committed to providing a diverse and enriching reading experience for all.
Sign In
your cart
Your cart is empty
Menu
Search
PRE-SALES
If you have any questions before making a purchase chat with our online operators to get more information.
