Extensions of the Pesaran, Shin and Smith (2001) bounds testing procedure
Bibliographic Data
| ID | 21541900 |
|---|---|
| Authors | Georgios Bertsatos (0000-0003-4009-6564, Athens University of Economics and Business), Plutarchos Sakellaris (0000-0002-1313-6586, Athens University of Economics and Business, corresponding author), Efthymios G Tsionas (0000-0003-3761-8106, Lancaster University) |
| Year | 2022 |
| Volume | 62 |
| Issue | 2 |
| Pages | 605-634 |
| Publication date | 2022-02-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-021-02041-3 |
| OpenAlex | W3141628777 |
| Language | EN |
| References cited | 42 |
Econometrics · Economics · Mathematical economics · Quantile · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Applied Mathematics
Bootstrapping the autoregressive distributed lag test for cointegration
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
Canonical Cointegrating Regressions
Econometric Issues in the Analysis of Regressions with Generated Regressors
Statistical Inference in Instrumental Variables Regression with I(1) Processes
Robust Tests for Heteroscedasticity Based on Regression Quantiles
Quantile cointegration in the autoregressive distributed-lag modeling framework
Cointegration Testing and Dynamic Simulations of Autoregressive Distributed Lag Models
The Determination of the Order of an Autoregression
Quantile cointegrating regression
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
The saving and investment nexus for China
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Estimating the Dimension of a Model
Bounds testing approaches to the analysis of level relationships
Regression Quantiles
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
| Citation velocity | historical |
|---|---|
| Highly cited | No |