Likelihood-Based Inference in Multivariate Panel Cointegration Models
By Rolf Larsson, Johan Lyhagen. 2000
67 citations recorded by the source corpus.
View Paper: https://www.semanticscholar.org/paper/a17cbdcf9a79d73f774e188e157c74bdae262632
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Citations in the corpus
- The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study (2009, methodology): “Larsson et al. (2001) consider testing for cointegration in the above framework under the assumption that i = i ′ i = ′ = for i = 1, ,N .”
- Unit Roots and Cointegration in Panels (2005, unknown): “A general model to accommodate cross-section cointegration and dynamic links between panel units is the panel VECM model considered by Groen and Kleibergen (2003) and Larsson and Lyhagen (1999). As in Section 6, let zit denote a n-dimensional vector of times series on the i th cross section unit.”
- The Relationship between Stock Prices, House Prices and Consumption in OECD Countries (2004, background): “1 Introduction This paper examines the relationship between stock prices, house prices and private consumption across OECD countries. In recent years, the impact of household wealth on consumption, the so-called consumption-wealth effect, has received increased attention both among academic research”
- Estimation and inference with non-stationary panel time-series data. (2001, background): “Larsson, Lyhagen and Lothgren (1998) and Larsson and Lyhagen (1999) suggest using the average of the Johansen trace statistics.”
- FDI, Financial Development, and Economic Growth: International Evidence (2009, methodology): “The asymptotic distribution of the trace statistics can be found in Larsson and Lyhagen (1999).”
- Testing for PPP: Should we use panel methods? (2005, methodology): “There we investigated the properties of tests of cointegration in panels of data, particularly those proposed by Groen and Kleibergen (1999) and Larsson and Lyhagen (1999), and showed that not taking account of the cointegrating relationships across the units of the panel would lead to serious…”