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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Essays on Panel Cointegration

Essays on Panel Cointegration

Westerlund, Joakim

Paperback

Business General

ISBN10: 3639088662
ISBN13: 9783639088663
Publisher: Blues Kids Of Amer
Published: Oct 27 2008
Pages: 208
Weight: 0.63
Height: 0.44 Width: 6.00 Depth: 9.00
Language: English
This thesis develops new techniques for analyzing cointegrated relation-ships 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.

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