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Cointegration in Panel Data with Breaks and Cross-section Dependence

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Cited by:

  1. Karikallio, Hanna, 2015. "Cross-commodity Price Transmission and Integration of the EU Livestock Market of Pork and Beef: Panel Time-series Approach," 2015 Conference, August 9-14, 2015, Milan, Italy 211832, International Association of Agricultural Economists.
  2. Francesca Iorio & Stefano Fachin, 2014. "Savings and investments in the OECD: a panel cointegration study with a new bootstrap test," Empirical Economics, Springer, vol. 46(4), pages 1271-1300, June.
  3. Kozluk, Tomasz & Banerjee, Anindya & de Bandt, Olivier, 2008. "Measuring Long-Run Exchange Rate Pass-Through," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-36.
  4. Antonio Afonso & Christophe Rault, 2008. "3-Step Analysis of Public Finances Sustainability: the Case of the European Union," Post-Print halshs-00363702, HAL.
  5. Holly, Sean & Pesaran, M. Hashem & Yamagata, Takashi, 2010. "A spatio-temporal model of house prices in the USA," Journal of Econometrics, Elsevier, vol. 158(1), pages 160-173, September.
  6. Bongsuk Sung & Woo-Yong Song, 2017. "Does Dynamic Efficiency of Public Policy Promote Export Prformance? Evidence from Bioenergy Technology Sector," Energies, MDPI, vol. 10(12), pages 1-18, December.
  7. Mark J. Holmes & Theodore Panagiotidis & Jesus Otero, 2008. "Are EU budgets stationary?," Discussion Paper Series 2008_07, Department of Economics, University of Macedonia, revised Sep 2008.
  8. Christophe RAULT & Guglielmo Maria CAPORALE & Thouraya HADJ AMOR, 2009. "International Financial Integration And Real Exchange Rate Long-Run Dynamics In Emerging Countries," William Davidson Institute Working Papers Series wp970, William Davidson Institute at the University of Michigan.
  9. Carrion-i-Silvestre Josep Lluis & Surdeanu Laura, 2011. "Panel Cointegration Rank Testing with Cross-Section Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-43, September.
  10. Mariam Camarero & Inmaculada Martínez-Zarzoso & Felicitas Nowak-Lehmann & Cecilio Tamarit, 2016. "Trade Openness and Income: A Tale of Two Regions," The World Economy, Wiley Blackwell, vol. 39(3), pages 386-408, March.
  11. Talpos, Ioan & Dima, Bogdan & Mutascu, Mihai & Enache, Cosmin, 2009. "Empirical Evidencies for the Budget Deficits Co-Integration in the Old European Union Members: Are there any Interlinkages in Fiscal Policies?," MPRA Paper 12647, University Library of Munich, Germany.
  12. Everaert, Gerdie, 2014. "A panel analysis of the fisher effect with an unobserved I(1) world real interest rate," Economic Modelling, Elsevier, vol. 41(C), pages 198-210.
  13. Jaroslava Hlouskova & Martin Wagner, 2009. "Finite Sample Correction Factors for Panel Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 851-881, December.
  14. Chen, Ping-Yu & Chen, Sheng-Tung & Hsu, Chia-Sheng & Chen, Chi-Chung, 2016. "Modeling the global relationships among economic growth, energy consumption and CO2 emissions," Renewable and Sustainable Energy Reviews, Elsevier, vol. 65(C), pages 420-431.
  15. António Afonso & Christophe Rault, 2008. "Budgetary and External Imbalances Relationship : a Panel Data Diagnostic," Working Papers Department of Economics 2008/45, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
  16. Di Iorio, Francesca & Fachin, Stefano, 2007. "Cointegration testing in dependent panels with breaks," MPRA Paper 3139, University Library of Munich, Germany.
  17. Tim Buyse & Freddy Heylen & Ruben Schoonackers, 2015. "On The Role Of Public Policies And Wage Formation For Private Investment In R&D: A Long-Run Panel Analysis," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/911, Ghent University, Faculty of Economics and Business Administration.
  18. Nidhaleddine Ben cheikh, 2012. "Long-run exchange rate pass-through: evidence from new panel data techniques," Economics Bulletin, AccessEcon, vol. 32(3), pages 1-24.
  19. Brantley Liddle & George Messinis, 2015. "Which comes first - urbanization or economic growth? Evidence from heterogeneous panel causality tests," Applied Economics Letters, Taylor & Francis Journals, vol. 22(5), pages 349-355, March.
  20. Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity For Developing And Developed Countries. What Can We Learn From Non‐Stationary Panel Data Models?," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 752-773, September.
  21. Christophe Rault & António Afonso, 2007. "Should we care for structural breaks when assessing fiscal sustainability?," Economics Bulletin, AccessEcon, vol. 3(63), pages 1-9.
  22. Selien De Schryder & Gert Peersman, 2016. "The U.S. Dollar Exchange Rate and the Demand for Oil," The Energy Journal, , vol. 37(1), pages 90-114, January.
  23. García Solanes, José & Torrejón-Flores, Fernando, 2009. "The Balassa-Samuelson Hypothesis in Developed Countries and Emerging Market Economies: Different Outcomes Explained," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-24.
  24. Smruti Ranjan Behera, 2019. "Purchasing Power Parity Tests in Cointegrated Panels: Evidence from Newly Industrialized Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 44(1), pages 69-95, March.
  25. Tuomas Malinen, 2016. "Does income inequality contribute to credit cycles?," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 14(3), pages 309-325, September.
  26. Jushan Bai & Josep Lluís Carrion‐i‐Silvestre, 2013. "Testing panel cointegration with unobservable dynamic common factors that are correlated with the regressors," Econometrics Journal, Royal Economic Society, vol. 16(2), pages 222-249, June.
  27. Omri, Anis & Daly, Saida & Rault, Christophe & Chaibi, Anissa, 2015. "Financial development, environmental quality, trade and economic growth: What causes what in MENA countries," Energy Economics, Elsevier, vol. 48(C), pages 242-252.
  28. Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Testing for Panel Cointegration Using Common Correlated Effects," Discussion Papers 11-16, Department of Economics, University of Birmingham.
  29. António Afonso & Christophe Rault, 2010. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(4), pages 731-755, January.
  30. Francesca Di Iorio & Stefano Fachin, 2009. "A residual-based bootstrap test for panel cointegration," Economics Bulletin, AccessEcon, vol. 29(4), pages 3222-3232.
  31. Vitale, Paolo, 2006. "A Market Microstructure Analysis of Foreign Exchange Intervention," CEPR Discussion Papers 5468, C.E.P.R. Discussion Papers.
  32. Mark Holmes & Jesús Otero & Theodore Panagiotidis, 2010. "Are EU budget deficits stationary?," Empirical Economics, Springer, vol. 38(3), pages 767-778, June.
  33. Yilmaz Bayar & Laura Diaconu (Maxim) & Andrei Maxim, 2020. "Financial Development and CO 2 Emissions in Post-Transition European Union Countries," Sustainability, MDPI, vol. 12(7), pages 1-15, March.
  34. Sean Holly & Mehdi Raissi, 2009. "The Macroeconomic Effects of European Financial Development: A Heterogenous Panel Analysis," Working Paper / FINESS 1.4, DIW Berlin, German Institute for Economic Research.
  35. María-Dolores, Ramon, 2009. "How different is the exchange rate pass-through in new member states of the EU? Some potential explanatory factors," UMUFAE Economics Working Papers 4698, DIGITUM. Universidad de Murcia.
  36. Martin Wagner & Jaroslava Hlouskova, 2010. "The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 182-223, April.
  37. Rao, B. Bhaskara & Kumar, Saten, 2009. "A panel data approach to the demand for money and the effects of financial reforms in the Asian countries," Economic Modelling, Elsevier, vol. 26(5), pages 1012-1017, September.
  38. Tuomas Malinen, 2011. "Income Inequality and Savings: A Reassessment of the Relationship in Cointegrated Panels," DEGIT Conference Papers c016_076, DEGIT, Dynamics, Economic Growth, and International Trade.
  39. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
  40. Charfeddine, Lanouar & Kahia, Montassar, 2019. "Impact of renewable energy consumption and financial development on CO2 emissions and economic growth in the MENA region: A panel vector autoregressive (PVAR) analysis," Renewable Energy, Elsevier, vol. 139(C), pages 198-213.
  41. Sung, Bongsuk & Song, Woo-Yong, 2014. "How government policies affect the export dynamics of renewable energy technologies: A subsectoral analysis," Energy, Elsevier, vol. 69(C), pages 843-859.
  42. Pui Sun Tam, 2013. "Finite-sample distribution of the augmented Dickey--Fuller test with lag optimization," Applied Economics, Taylor & Francis Journals, vol. 45(24), pages 3495-3511, August.
  43. Mohamed El Hédi Arouri & Christophe Rault, 2010. "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Revue économique, Presses de Sciences-Po, vol. 61(5), pages 945-959.
  44. Chaouki Mouelhi, 2021. "Does Cash Flows Useful in Predicting the Company’s Financial Health? Empirical Validation by Panel Cointegration Tests," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 10(3), pages 1-1.
  45. Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014. "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 393-406, August.
  46. Christian Dreger & Hans-Eggert Reimers, 2012. "The long run relationship between private consumption and wealth: common and idiosyncratic effects," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 11(1), pages 21-34, April.
  47. Sung, Bongsuk & Song, Woo-Yong & Park, Sang-Do, 2018. "How foreign direct investment affects CO2 emission levels in the Chinese manufacturing industry: Evidence from panel data," Economic Systems, Elsevier, vol. 42(2), pages 320-331.
  48. García-Solanes, José & Sancho-Portero, F. Israel & Torrejón-Flores, Fernando, 2008. "Beyond the Balassa-Samuelson effect in some new member states of the European Union," Economic Systems, Elsevier, vol. 32(1), pages 17-32, March.
  49. Campo Robledo, Jacobo, 2011. "Sostenibilidad fiscal: una aproximación con datos panel para 8 países Latinoaméricanos [Fiscal sustainability: A data panel approach for eight Latin American countries]," MPRA Paper 33091, University Library of Munich, Germany.
  50. Chang, Yoosoon & Nguyen, Chi Mai, 2012. "Residual based tests for cointegration in dependent panels," Journal of Econometrics, Elsevier, vol. 167(2), pages 504-520.
  51. repec:wsr:wpaper:y:2012:i:078 is not listed on IDEAS
  52. Deebii Nwiado & Lezaasi LeneeTorbira, 2016. "A Panel Data Analysis of the Validity of Uncovered Interest Rate Parity (UIRP) in Selected African Countries," Research in World Economy, Research in World Economy, Sciedu Press, vol. 7(2), pages 15-25, December.
  53. Jesus Clemente & Carmen Marcuello & Antonio Montañes, 2012. "Government Social Spending and GDP: has there been a change in social policy?," Applied Economics, Taylor & Francis Journals, vol. 44(22), pages 2895-2905, August.
  54. Takashi Matsuki & Ryoichi Usami, 2009. "China's regional convergence in panels with multiple structural breaks," Applied Economics, Taylor & Francis Journals, vol. 43(7), pages 873-890.
  55. Di Iorio, Francesca & Fachin, Stefano, 2007. "Testing for Breaks in Cointegrated Panels - with an Application to the Feldstein-Horioka Puzzle," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-23.
  56. Joakim Westerlund & David L. Edgerton, 2008. "A Simple Test for Cointegration in Dependent Panels with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 665-704, October.
  57. Cerqueti, Roy & Costantini, Mauro, 2011. "Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2598-2605, October.
  58. Matsuki, Takashi & Usami, Ryoichi, 2007. "China's Regional Convergence in Panels with Multiple Structural Breaks," MPRA Paper 10167, University Library of Munich, Germany, revised 17 May 2008.
  59. Bai, Jushan & Carrion-i-Silvestre, Josep Lluis, 2009. "Testing Panel Cointegration with Unobservable Dynamic Common Factors," MPRA Paper 35243, University Library of Munich, Germany.
  60. Tuomas Malinen, 2012. "Estimating the long-run relationship between income inequality and economic development," Empirical Economics, Springer, vol. 42(1), pages 209-233, February.
  61. Wang, Weiguo & Xue, Jing & Du, Chonghua, 2016. "The Balassa–Samuelson hypothesis in the developed and developing countries revisited," Economics Letters, Elsevier, vol. 146(C), pages 33-38.
  62. Gerdie Everaert & Freddy Heylen & Ruben Schoonackers, 2015. "Fiscal policy and TFP in the OECD: measuring direct and indirect effects," Empirical Economics, Springer, vol. 49(2), pages 605-640, September.
  63. Frappa, Sebastien & Murez, Michèle & Montornès, Jérémi & Barbier de la Serre, Anne, 2008. "Bank interest rates pass-through: new evidence from French panel data," MPRA Paper 26709, University Library of Munich, Germany.
  64. Piotr Krajewski & Michał Mackiewicz & Agata Szymańska, 2016. "Fiscal Sustainability in Central and Eastern European Countries - A Post-Crisis Assessment," Prague Economic Papers, Prague University of Economics and Business, vol. 2016(2), pages 175-188.
  65. María del Carmen Ramos-Herrera & María A. Prats, 2020. "Fiscal Sustainability in the European Countries: A Panel ARDL Approach and a Dynamic Panel Threshold Model," Sustainability, MDPI, vol. 12(20), pages 1-14, October.
  66. Seyfettin Erdo an & Durmu a r Y ld r m & Ayfer Gedikli, 2019. "Investigation of Causality Analysis between Economic Growth and CO2 Emissions: The Case of BRICS T Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 9(6), pages 430-438.
  67. Mohey-ud-din, Ghulam & Siddiqi, Muhammad Wasif, 2013. "GDP Fluctuations and Private Investment: A Macro Panel Analysis of Selected South Asian Countries," MPRA Paper 60231, University Library of Munich, Germany, revised 15 Jun 2014.
  68. Jesús Clemente & Carmen Marcuello & Antonio Montañés, 2008. "Pharmaceutical expenditure, total health‐care expenditure and GDP," Health Economics, John Wiley & Sons, Ltd., vol. 17(10), pages 1187-1206, October.
  69. Guglielmo Maria Caporale & Thouraya Hadj Amor & Christophe Rault, 2011. "International financial integration and real exchange rate long-run dynamics in emerging countries: Some panel evidence," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 20(6), pages 789-808, September.
  70. Salim, Ruhul A. & Rafiq, Shuddhasattwa, 2012. "Why do some emerging economies proactively accelerate the adoption of renewable energy?," Energy Economics, Elsevier, vol. 34(4), pages 1051-1057.
  71. Sung, Bongsuk, 2015. "Public policy supports and export performance of bioenergy technologies: A dynamic panel approach," Renewable and Sustainable Energy Reviews, Elsevier, vol. 42(C), pages 477-495.
  72. Silika Prohl & Friedrich G. Schneider, 2006. "Sustainability of Public Debt and Budget Deficit: Panel cointegration analysis for the European Union Member countries," Economics working papers 2006-10, Department of Economics, Johannes Kepler University Linz, Austria.
  73. Vanessa Berenguer‐Rico & Josep Lluís Carrion‐i‐Silvestre, 2006. "Testing for Multicointegration in Panel Data with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 721-739, December.
  74. Di Iorio, Francesca & Fachin, Stefano, 2010. "A Panel Cointegration study of the long-run relationship between Savings and Investments in the OECD economies, 1970-2007," MPRA Paper 25873, University Library of Munich, Germany.
  75. Afonso, António & Rault, Christophe, 2015. "Multi-step analysis of public finances sustainability," Economic Modelling, Elsevier, vol. 48(C), pages 199-209.
  76. Tuomas, Malinen, 2011. "Inequality and savings: a reassesment of the relationship in cointegrated panels," MPRA Paper 33350, University Library of Munich, Germany.
  77. Smruti Ranjan Behera, 2015. "Do Domestic Firms Really Benefit From Foreign Direct Investment? The Role Of Horizontal And Vertical Spillovers And Absorptive Capacity," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 40(2), pages 57-86, June.
  78. James Stodder & Bernard Lietaer, 2016. "The Macro-Stability of Swiss WIR-Bank Credits: Balance, Velocity, and Leverage," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 58(4), pages 570-605, December.
  79. Gengenbach, Christian & Urbain, Jean-Pierre & Westerlund, Joakim, 2013. "Alternative representations for cointegrated panels with global stochastic trends," Economics Letters, Elsevier, vol. 118(3), pages 485-488.
  80. Christian Gengenbach & Franz C. Palm & Jean‐Pierre Urbain, 2006. "Cointegration Testing in Panels with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 683-719, December.
  81. Behera, Smruti Ranjan & Dash, Devi Prasad, 2017. "The effect of urbanization, energy consumption, and foreign direct investment on the carbon dioxide emission in the SSEA (South and Southeast Asian) region," Renewable and Sustainable Energy Reviews, Elsevier, vol. 70(C), pages 96-106.
  82. Smruti Ranjan Behera, 2017. "Saving–Investment Dynamics And Capital Mobility In The Newly Industrialized Countries," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 62(02), pages 403-422, June.
  83. repec:ebl:ecbull:v:3:y:2007:i:63:p:1-9 is not listed on IDEAS
  84. Tuomas Malinen, 2013. "Is there a relationship between income inequality and credit cycles?," Working Papers 292, ECINEQ, Society for the Study of Economic Inequality.
  85. Di Iorio, Francesca & Fachin, Stefano, 2006. "Testing for breaks in cointegrated panels," MPRA Paper 3280, University Library of Munich, Germany.
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