Nonlinear Error Correction Based Cointegration Test in Panel Data

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2017

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Elsevier Science Sa

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Economics
(1997)
Founded in 1997, the Department of Economics is among the founding departments of our University. The Department offers two extensive undergraduate programs, either in English or in Turkish. Our undergraduate programs are catered to developing our students’ skills of analytical thinking, and to practical education. In this regard, the Social Sciences Research and Training Laboratory, founded under the guidance of our department, offers hands-on training to our own students, students and academicians from other universities, and public institutions. Our Department also offers a Graduate Degree Program in Applied Economy and a Doctorate Degree Program in Political Economy for graduates of undergraduate and graduate degree programs.

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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.

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Emirmahmutoglu, Furkan/0000-0001-7358-3567
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Emirmahmutoglu, Furkan ORCID logo

Keywords

Nonlinear error correction model, Sieve bootstrap, Modified Wald test, Cross section dependency

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Volume

157

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1

End Page

4

URI

https://doi.org/10.1016/j.econlet.2017.05.017
 https://hdl.handle.net/20.500.14411/2850

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