Current Version : July 25 , 1999 CRITICAL VALUES FOR COINTEGRATION TESTS IN HETEROGENEOUS PANELS WITH MULTIPLE REGRESSORS *
Current Version : July 25 , 1999 CRITICAL VALUES FOR COINTEGRATION TESTS IN HETEROGENEOUS PANELS WITH MULTIPLE REGRESSORS *
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发表时间：
1999
期刊：
影响因子：
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通讯作者：
P. Pedroni
中科院分区：
文献类型：
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作者：
P. Pedroni
- 摘要：在多个回归变量的情况下，计算了面板中零或无协整的几个基于残差的检验的渐近分布和临界值，包括具有个体特定固定效应和时间趋势的回归。相关的协整向量和动态的基本误差过程允许相当大的异质性，在面板的各个成员。------------------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------------Abstract: Asymptotic distributions and critical values are computed for several residual based tests of the null of no cointegration in panels for the case of multiple regressors, including regressions with individual specific fixed effects and time trends. The associated cointegrating vectors and the dynamics of the underlying error processes are permitted considerable heterogeneity across individual members of the panel. ------------------------------------------------------------------------------------------------------------------