Nonlinear error correction based cointegration test in panel data
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Date
2017
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier Science Sa
Abstract
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.
Description
Emirmahmutoglu, Furkan/0000-0001-7358-3567
Keywords
Nonlinear error correction model, Sieve bootstrap, Modified Wald test, Cross section dependency
Turkish CoHE Thesis Center URL
Citation
5
WoS Q
Q3
Scopus Q
Source
Volume
157
Issue
Start Page
1
End Page
4