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portada Essays on Panel Cointegration
Type
Physical Book
Publisher
Author
Year
2008
Language
English
Pages
208
Format
Paperback
ISBN
3639088662
ISBN13
9783639088663
Categories

Essays on Panel Cointegration

Joakim Westerlund (Author) · Vdm Verlag Dr. Mueller E.K. · Paperback

Essays on Panel Cointegration - Joakim Westerlund

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Synopsis "Essays on Panel Cointegration "

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.

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