Likelihood-Based Cointegration Tests in Heterogeneous Panels

By Rolf Larsson, Johan Lyhagen, Mickael Löthgren. 2001

603 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/afbe32df688d9a493333e0ee6b5f05b6b4ea3dbc

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In Economics and Econometrics

Citations in the corpus

Trade openness–carbon emissions nexus: The importance of turning points of trade openness for country panels (2016, background): “…divided into two groups: the first group is based on the null hypothesis of the presence of cointegration (McCoskey and Kao, 1998; Westerlund, 2007), while the second group assumes no cointegration as the null hypothesis (Pedroni, 1999; Kao, 1999; Larsson et al., 2001, Groen and Kleibergen, 2003).”
Natural Resources and Economic Development: New Panel Evidence (2015, methodology): “For the Larsson et al. (2001) technique we used one lag *, **, and *** A rejection of the null of no cointegration at the 1, 5 and 10% levels, respectively”
Does Globalisation Worsen Environmental Quality in Developed Economies? (2018, background): “…thus far can be divided into two groups: the first group is based on the null hypothesis of cointegration (McCoskey and Kao 1998; Westerlund, 2007), while the second group takes no cointegration as the null hypothesis (Pedroni 1999; Kao 1999; Larsson et al., 2001; Groen and Kleibergen, 2003).”
The ARDL Method in the Energy-Growth Nexus Field; Best Implementation Strategies (2019, background): “No: Cross sectional dependence EXAMPLES OF TESTS: Gutierrez (2003) Larsson et al. (2001) Pedroni (higher explanatory power, mostly preferred with 7 statistics) (Pedroni 2004, 2007) McCoskey and Kao (1998)—(ideal for small samples) Kao (1999) —(ideal for small samples) Yes: Cross sectional dependence”
In search of FDI-led growth in developing countries (2008, methodology): “If 20 standardised average, LR, of the N (= 28) individual trace statistics: { } )(/)]([ ZVarZELRN −=Ψ , with E(Z) and Var(Z) as the mean and variance of the asymptotic trace statistic reported by Larsson et al. (2001).”
Is Infrastructure Capital Productive? A Dynamic Heterogeneous Approach (2011, neutral): “Further, under fairly general conditions, Larsson et al. (2001) show that the standardized LR-bar statistic for the panel cointegration rank test is asymptotically distributed as a standard normal.”
The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study (2009, methodology): “The asymptotic mean and variance correction factors coincide with those of the Larsson et al. (2001) test in (22) for all specifications of the deterministic components.”
Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models (2003, methodology): “1, the Larsson et al. (2001) statistic in (75), and the appropriate asymptotic distribution as formulated in Proposition 4, based on the DGPs (72) and (73) under the true null hypothesis with c D 01 k D 21N D 5, and 10,000 iterations. The resulting cdf’s are shown in Figure 1. In the rst column of”