Cointegration Testing in Panels with Common Factors

By C. Gengenbach, Franz C. Palm, J. Urbain. 2006

138 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/39ab448b36b6f3c5592b96e9fa34c6be6af0892d

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In Economics and Econometrics

Citations in the corpus

A Spatio-Temporal Model of House Prices in the US (2010, unknown): “In this section we turn to the test and estimation results.”
Energy Consumption and Economic Growth – New Insights into the Cointegration Relationship (2010, background): “The common and idiosyncratic components can be either integrated of order one, I(1), or stationary, I(0), and we therefore have to test both components separately for unit roots and cointegration relationships, following the sequential testing strategy proposed by Gengenbach et al. (2006). Cointegra”
A Simple Panel-CADF Test for Unit Roots (2013, unknown): “However, it is well known (see e.g. O’Connell, 1998; Maddala and Wu, 1999; Banerjee et al., 2004, 2005; Gengenbach et al., 2006; Lyhagen, 2008; Wagner, 2008) that both short-term and long-run cross-section dependence adversely affects the performance of these panel unit roots tests.”
Panel cointegration tests of the Fisher effect (2006, methodology): “Such an approach was recently taken by Gengenbach et al. (2006), who propose using a two-step Bai and Ng (2004) type procedure in order to make the Pedroni (2004) tests robust against cross-section dependence.”
A further examination of the export-led growth hypothesis (2012, unknown): “Gengenbach et al. (2006) propose a sequential testing strategy.”
Energy consumption and economic growth: New insights into the cointegration relationship (2011, background): “The common and idiosyncratic components can be either integrated of order one, I(1), or stationary, I(0), and we therefore have to test both components separately for unit roots and cointegration relationships, following the sequential testing strategy proposed by Gengenbach et al. (2006). Cointegra”