Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models

By Jan J. J. Groen, F. Kleibergen. 2003

218 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c965424bd5ecf95057ca153c3dea1271f5850af2

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Citations in the corpus

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 Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics? (2008, methodology): “(18)For such a short panel as given here, systems based methods like the one developed in Groen and Kleibergen (2003) are not applicable.”
What drives carbon dioxide emissions in the long-run? Evidence from selected South Asian Countries (2016, unknown): “, 2001); (Groen and Kleibergen, 2003) and other takes ‘‘cointegration’’ as null hypothesis (i.”
A Parametric approach to the Estimation of Cointegration Vectors in Panel Data (2002, background): “Pesaran et al. (1999), Larsson and Lyhagen (1999), and Groen and Kleibergen (2003) have suggested estimation procedures for cointegrated panel data based on a vector error correction (VECM) format.”
The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study (2009, methodology): “Second, the proposed iterative estimators, like the Groen and Kleibergen (2003) estimator, are (in their general version) more demanding in terms of the time dimension of the panel due to the unrestricted set-up of the panel VAR model, see the discussion in Sec- 1 tion 2.2.”
Unit Roots and Cointegration in Panels (2005, unknown): “Groen and Kleibergen (2003) provide an application.”
Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data (2004, unknown): “Groen and Kleibergen (2003) , Larsson and Lyhagen (2000a, 2000b) and Larsson et al. (2001) have therefore developed techniques, analogous to the Johansen (1995) maximum-likelihood method, that allow for multiple cointegrating vectors in each unit.”
Alternative asymptotics for cointegration tests in large VARs (2016, background): “For smaller values of c, however, the Wachter limits (13) and (14) become well separated.”
How strong is the causal relationship between globalization and energy consumption in developed economies? A country-specific time-series and panel analysis (2018, background): “…group of cointegration tests is based on the null hypothesis of cointegration (McCoskey and Kao 1998; Westerlund 2005) while the second group of cointegration tests take no cointegration as the null hypothesis (Pedroni 1999; Kao 1999; Larsson, Lyhagen, and Lothgren 2001; Groen and Kleibergen 2003).”
Econometric Analysis of Panel Data (2020, methodology): “For Grunfeld’s (1958) example considered in Chapter 2, the investment equation is estimated using a two-way error component model.”
Seemingly Unrelated Regressions (2006, methodology): “Nonstationary SUR VAR models have been used in developing tests for unit roots and cointegration in panels with crosssectional dependence, see for example Chang (2004), Groen and Kleibergen (2003) and Larsson, Lyhagen, and Lothgren (2001).”
New Simple Tests for Panel Cointegration (2005, background): “Examples include Kao (1999), Groen and Kleibergen (2003), and Larsson et al. (2001).”