Nonlinear error correction based cointegration test in panel data

Omay T., Emirmahmutoglu F., Denaux Z.

ECONOMICS LETTERS, cilt.157, ss.1-4, 2017 (SSCI, Scopus)

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 157
  • Basım Tarihi: 2017
  • Doi Numarası: 10.1016/j.econlet.2017.05.017
  • Dergi Adı: ECONOMICS LETTERS
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.1-4
  • Anahtar Kelimeler: Nonlinear error correction model, Sieve bootstrap, Modified Wald test, Cross section dependency
  • Ankara Hacı Bayram Veli Üniversitesi Adresli: Hayır

Özet

We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties. (C) 2017 Elsevier B.V. All rights reserved.