A principal components analysis of common stochastic trends in heterogeneous panel data: Some Monte Carlo evidence

Oxford Bulletin of Economics and Statistics

Volumn 61, Issue SUPPL., 1999, Pages 749-767

  Hall, Stephen ^a   Lazarova, Stepana ^a   Urga, Giovanni ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0010512092     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0084.0610s1749     Document Type: Article

References (16)

1. Geroski, P. Lazarova, S. and Urga, G. (1999). 'Modelling the Dispersion in Productivity Growth across Firms over Time', Mimeo, Centre for Economic Forecasting, London Business School.
2. Ghose, D. (1995). 'Linear Aggregation in Cointegrated Systems', Journal of Economic Dynamics and Control, 19, 1011-1032.
3. Gonzalo, J. (1993). 'Cointegration and Aggregation', Ricerche Economiche, 47, 281-291.
4. Granger, C. W. J. (1993). 'Implications of Seeing Economic Variables through an Aggregation Window', Ricerche Economiche, 47, 269-279.
5. Hall, S. G. and Urga, G. (1998). 'Stochastic Common Trends and Long-Run Relationships in Heterogenous Panels', Centre for Economic Forecasting, London Business School.
6. Harris, D. (1997). 'Principal Components Analysis of Cointegrated Time Series', Econometric Theory, 13, 529-557.
7. Johnston, J. (1984). Econometric Methods, 3rd Edition, McGraw-Hill, New York.
8. Kao, C. and Chiang, M. H. (1998). 'On the Estimation and Inference of a Cointegrated Regression in Panel Data', Mimeo, Center for Policy Research, Syracuse University, January.
9. McCoskey, S. and Kao, C. (1998a). 'A Residual Based Test of the Null of Cointegration in Panel Data', Econometric Reviews, 17, 57-84.
10. McCoskey, S. and Kao, C. (1998b). 'A Monte Carlo Comparison of Tests for Cointegration in Panel Data', Mimeo, Center for Policy Research, Syracuse University, February.
11. Pedroni, P. (1997). 'Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis - New Results', Indiana University Working Paper in Economics, April.
12. Pedroni, P. (1998). 'Approximate Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors', Mimeo, Indiana University, February.
13. Pesaran, M.H. and Smith, R. (1995). 'Estimating Long-Run Relationships from Dynamic Heterogeneous Panels', Journal of Econometrics, 68, 79-113.
14. Phillips, P. C. B. and Moon, H. R. (1999) 'Linear Regression Limit Theory in Nonstationary Panel Data', Econometrica, 67, 1057-1111.
15. Phillips, P. C. B. and Quiliaris, S. (1988). 'Testing for Cointegration using Principal Components Methods', Journal of Economic Dynamics and Control, 12, 205-230.
16. Snell, A. (1999). 'Testing for r versus r - 1 Cointegrating Vectors', Journal of Econometrics, 88, 151-191.