A residual-based test of the null of cointegration in panel data
This paper proposes a residual-based Lagrange Multiplier (LM) test for the null of cointegration in panel data. The test is analogous to the locally best unbiased invariant (LBU...
Publications
2 shownA Monte Carlo Comparison of Tests for Cointegration in Panel Data
This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed for cointegration in panel data. In particular, tests for two panel models, ...
Frequent Co-Authors
Researcher Info
- h-index
- 2
- Publications
- 2
- Citations
- 691
- Institution
- United States Naval Academy
External Links
Impact Metrics
h-index
2
h-index: Number of publications with at least h citations each.