Hidden panel cointegration

Abdulnasser, Hatemi-J (2011): Hidden panel cointegration.

Abstract

This article extends the seminal work of Granger and Yoo (2002) on hidden cointegration to panel data analysis. It shows how cumulative negative and positive changes can be constructed for each panel variable. It also shows how tests similar to the augmented Dickey-Fuller tests can be implemented to find out whether the cointegration is hidden in the panel or not. An application is provided to investigate the impact of permanent positive and negative shocks in the government expenditure on the national output in a panel of three countries.

• Item Type: MPRA Paper
• Language: English
• Keywords: Asymmetry, Panel Data, Cointegration, Testing, Government Spending, Output
• Subjects: H - Public Economics > H2 - Taxation, Subsidies, and Revenue > H21 - Efficiency ; Optimal Taxation; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models

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