Nonlinear error correction based cointegration test in panel data

Tolga Omay, Furkan Emirmahmutoglu and Zulal S. Denaux

Economics Letters, 2017, vol. 157, issue C, 1-4

Abstract: We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties.

Keywords: Nonlinear error correction model; Sieve bootstrap; Modified Wald test; Cross section dependency (search for similar items in EconPapers)
JEL-codes: C12 C15 C2 C4 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:157:y:2017:i:c:p:1-4

DOI: 10.1016/j.econlet.2017.05.017

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