create a website

Simple Tests for Cointegration in Dependent Panels with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David.
In: Working Papers.
RePEc:hhs:lunewp:2006_013.

Full description at Econpapers || Download paper

Cited: 12

Citations received by this document

Cites: 20

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Current Account Balance in Emerging Asia. (2018). Rocha de Sousa, Miguel ; Sek, Siok Kun ; Ari, Kivan Halil.
    In: CEFAGE-UE Working Papers.
    RePEc:cfe:wpcefa:2018_02.

    Full description at Econpapers || Download paper

  2. Cross-commodity Price Transmission and Integration of the EU Livestock Market of Pork and Beef: Panel Time-series Approach. (2015). Karikallio, Hanna.
    In: 2015 Conference, August 9-14, 2015, Milan, Italy.
    RePEc:ags:iaae15:211832.

    Full description at Econpapers || Download paper

  3. Resource Rents, Political Institutions and Economic Growth. (2012). Soto, Raimundo ; Elbadawi, Ibrahim Ahmed.
    In: Documentos de Trabajo.
    RePEc:ioe:doctra:413.

    Full description at Econpapers || Download paper

  4. On currency misalignments within the euro area. (2012). Mignon, Valérie ; COUHARDE, Cécile ; Coudert, Virginie.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04141061.

    Full description at Econpapers || Download paper

  5. On the link between forward energy prices: A nonlinear panel cointegration approach. (2012). Mignon, Valérie ; Joëts, Marc ; Jots, Marc.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:4:p:1170-1175.

    Full description at Econpapers || Download paper

  6. On currency misalignments within the euro area. (2012). Mignon, Valérie ; COUHARDE, Cécile ; Coudert, Virginie.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2012-30.

    Full description at Econpapers || Download paper

  7. On currency misalignments within the euro area. (2012). Mignon, Valérie ; COUHARDE, Cécile ; Coudert, Virginie.
    In: Working Papers.
    RePEc:cii:cepidt:2012-07.

    Full description at Econpapers || Download paper

  8. On the link between forward energy prices: A nonlinear panel cointegration approach. (2011). Mignon, Valérie ; Joets, Marc.
    In: Working Papers.
    RePEc:hal:wpaper:hal-04140978.

    Full description at Econpapers || Download paper

  9. On the link between forward energy prices: A nonlinear panel cointegration approach. (2011). Mignon, Valérie ; Joëts, Marc ; Joets, Marc.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2011-25.

    Full description at Econpapers || Download paper

  10. Cointegration in Panel Data with Breaks and Cross-section Dependence. (2011). Carrion-i-Silvestre, Josep ; Banerjee, Anindya ; Josep Lluis Carrion-i-Silvestre, .
    In: Discussion Papers.
    RePEc:bir:birmec:11-25.

    Full description at Econpapers || Download paper

  11. Cointegration testing in dependent panels with breaks. (2007). Fachin, Stefano ; Di Iorio, Francesca.
    In: MPRA Paper.
    RePEc:pra:mprapa:3139.

    Full description at Econpapers || Download paper

  12. The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study. (2007). Wagner, Martin ; Hlouskova, Jaroslava.
    In: Economics Series.
    RePEc:ihs:ihsesp:210.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ahn, S. K. (1993). Some Tests for Unit Roots in Autoregressive-IntegratedMoving Average Models with Deterministic Trends, Biometrica, Vol. 80, pp. 855-868.
    Paper not yet in RePEc: Add citation now
  2. Amsler, C., and J. Lee (1995). An LM Test for a Unit Root in the Presence of a Structural Break, Econometric Theory, Vol. 11, pp. 359-368.

  3. Bai, J., and P. Perron (1998). Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica, Vol. 66, pp. 47-78.

  4. Bai, J., and S. Ng (2004). A Panic Attack on Unit Roots and Cointegration, Econometrica, Vol. 72, pp. 1127-1177.

  5. Banerjee, A., and J. L. Carrion-i-Silvestre (2006). Cointegration in Panel Data with Breaks and Cross-Section Dependence, ECB working paper no. 591.

  6. Breitung, J., and M. H. Pesaran (2006). Unit Roots and Cointegration in Panels, forthcoming in L. Matyas, and P. Sevestre (Eds.), The Econometrics of Panel Data, Kluwer Academic Publishers.
    Paper not yet in RePEc: Add citation now
  7. Campbell, J., and P. Perron (1991). Pitfalls and Opportunities: What Macroeconomists should Know about Unit Roots, in Blanchard, 0., and S. Fishers (Eds.), NBER Macroeconomics Annual, MIT Press, Cambridge, MA.

  8. Groen, J. J. J., and F. Kleibergen (2003). Likelihood-based Cointegration Analysis in Panels of Vector Error Correction Models, Journal of Business and Economic Statistics, Vol. 21, pp. 295-318.

  9. Haug, A. A. (1996). Tests for Cointegration: A Monte Carlo Comparison, Journal of Econometrics, Vol. 71, pp. 89115.

  10. Larsson, R., J. Lyhagen and M. Lötgren (2001). Likelihood-Based Cointegration Test in Heterogeneous Panels, Econometrics Journal, Vol. 4, pp. 109-142.

  11. McCoskey, S., and C. Kao (1998). A Residual-Based Test of the Null of Cointegration in Panel Data, Econometric Reviews, Vol. 17, pp. 57-84.

  12. Pedroni, P. (1999). Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors, Oxford Bulletin of Economics and Statistics, Vol. 61, pp. 653-670.

  13. Pedroni, P. (2004). Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis, Econometric Theory, Vol. 3, pp. 579-625.

  14. Schmidt, P. and P. C. B. Phillips (1992). LM Tests for a Unit Root in the Presence of Deterministic Trends, Oxford Bulletin of Economics and Statistics, Vol. 54, pp. 257-287.

  15. Westerlund, J. (2005a). A Panel CUSUM Test of the Null of Cointegration. Oxford Bulletin of Economics and Statistics Vol. 67, pp. 231-262, 2005.

  16. Westerlund, J. (2005b). New Simple Tests for Panel Cointegration, Econometrics Reviews, Vol. 24, pp. 297-316.

  17. Westerlund, J. (2006a). Testing for Panel Cointegration with a Level Break, Economics Letters, Vol. 91, pp. 27-33.

  18. Westerlund, J. (2006b). Testing for Panel Cointegration with Multiple Structural Breaks. Oxford Bulletin of Economics and Statistics, Vol. 68, pp. 101-132.

  19. Westerlund, J., and D. Edgerton (2006). New Improved Tests for Cointegration with Structural Breaks, Working paper No 2006:3, Department of Economics, Lund university. Available online at: http://www.nek.lu.se/publications /workpap/papers/wpO6_3.pdf.

  20. Zivot, E., and D. W. K. Andrews (1992). Further evidence on the great crash, the oil-price shock and the unit-root hypothesis. Journal of Business and Economics Statistics 10, 251-270.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Regional convergence or divergence in China? Evidence from unit root tests with breaks. (2013). Lin, Pei-Chien ; I-Ling Ho, .
    In: The Annals of Regional Science.
    RePEc:spr:anresc:v:50:y:2013:i:1:p:223-243.

    Full description at Econpapers || Download paper

  2. Minimum LM unit root test with one structural break. (2013). Strazicich, Mark ; Lee, Junsoo.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-13-00296.

    Full description at Econpapers || Download paper

  3. Determinants of Sovereign Bond Yield Spreads in the EMU. An Optimal Currency Area Perspective. (2013). Melina, Giovanni ; Fragetta, Matteo ; Costantini, Mauro.
    In: Working Papers.
    RePEc:cty:dpaper:13/15.

    Full description at Econpapers || Download paper

  4. INTERDEPENDENCE OF INTERNATIONAL FINANCIAL MARKET-- THE CASE OF INDIA AND U.S.. (2013). Tuteja, Divya ; Dua, Pami.
    In: Working papers.
    RePEc:cde:cdewps:223.

    Full description at Econpapers || Download paper

  5. Recursive adjustment, unit root tests and structural breaks. (2013). Rodrigues, Paulo ; Paulo M. M. Rodrigues, .
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:34:y:2013:i:1:p:62-82.

    Full description at Econpapers || Download paper

  6. Convergence in income inequality? evidence from panel unit root tests with structural breaks. (2012). Huang, Ho-Chuan ; Lin, Pei-Chien.
    In: Empirical Economics.
    RePEc:spr:empeco:v:43:y:2012:i:1:p:153-174.

    Full description at Econpapers || Download paper

  7. Revisiting the palm oil boom in Southeast Asia: The role of fuel versus food demand drivers. (2012). Gruère, Guillaume ; Balagtas, Joseph ; Sanders, Daniel J..
    In: IFPRI discussion papers.
    RePEc:fpr:ifprid:1167.

    Full description at Econpapers || Download paper

  8. Real interest rate parity with Flexible Fourier stationary test for Central and Eastern European countries. (2012). Liu, Lin ; Chang, Hsu-Ling ; Su, Chi-Wei.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:6:p:2719-2723.

    Full description at Econpapers || Download paper

  9. Are Fluctuations in Energy Consumption Transitory or Permanent? Evidence From a Panel of East Asia & Pacific Countries. (2012). Kum, Hakan.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2012-03-1.

    Full description at Econpapers || Download paper

  10. The Global Financial Crisis and Stochastic Convergence in the Euro Area. (2011). Pollard, Stephen ; Miller, Stephen ; Canarella, Giorgio.
    In: International Advances in Economic Research.
    RePEc:kap:iaecre:v:17:y:2011:i:3:p:315-333.

    Full description at Econpapers || Download paper

  11. The nature of regional unemployment in Italy. (2010). Lanzafame, Matteo.
    In: Empirical Economics.
    RePEc:spr:empeco:v:39:y:2010:i:3:p:877-895.

    Full description at Econpapers || Download paper

  12. The equilibrium real exchange rate of China: a productivity approach. (2010). Kakkar, Vikas ; Yan, Isabel K..
    In: MPRA Paper.
    RePEc:pra:mprapa:35229.

    Full description at Econpapers || Download paper

  13. Current account and relative prices: cointegration in the presence of structural breaks in emerging economies. (2010). Uz Akdogan, Idil ; Ketenci, Natalya.
    In: MPRA Paper.
    RePEc:pra:mprapa:27467.

    Full description at Econpapers || Download paper

  14. A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs. (2010). Cerqueti, Roy.
    In: Computational Economics.
    RePEc:kap:compec:v:35:y:2010:i:2:p:165-188.

    Full description at Econpapers || Download paper

  15. Are shocks to natural gas consumption temporary or permanent? Evidence from a panel of U.S. states. (2010). Payne, James ; Apergis, Nicholas ; Loomis, David.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:8:p:4734-4736.

    Full description at Econpapers || Download paper

  16. Coal consumption and economic growth: Evidence from a panel of OECD countries. (2010). Payne, James ; Apergis, Nicholas.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:3:p:1353-1359.

    Full description at Econpapers || Download paper

  17. Quantifying U.S. aluminum in-use stocks and their relationship with economic output. (2010). Moore, Michael R. ; Bulkley, Jonathan W. ; Keoleian, Gregory A. ; McMillan, Colin A..
    In: Ecological Economics.
    RePEc:eee:ecolec:v:69:y:2010:i:12:p:2606-2613.

    Full description at Econpapers || Download paper

  18. Testing for Unit Roots in Panel Time Series Models with Multiple Breaks. (2009). Westerlund, Joakim.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0384.

    Full description at Econpapers || Download paper

  19. Testing for a Unit Root in a Random Coefficient Panel Data Model. (2009). Westerlund, Joakim ; Larsson, Rolf.
    In: Working Papers in Economics.
    RePEc:hhs:gunwpe:0383.

    Full description at Econpapers || Download paper

  20. Structural breaks and Purchasing Power Parity in the CEE and Post-War former Yugoslav States. (2008). Tica, Josip ; Sonora, Robert.
    In: EFZG Working Papers Series.
    RePEc:zag:wpaper:0804.

    Full description at Econpapers || Download paper

  21. Unit Roots Tests with Smooth Breaks: An Application to the Nelson-Plosser Data Set. (2008). Pascalau, Razvan.
    In: MPRA Paper.
    RePEc:pra:mprapa:7220.

    Full description at Econpapers || Download paper

  22. Simple Tests for Cointegration in Dependent Panels with Structural Breaks. (2007). Westerlund, Joakim ; Edgerton, David.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_013.

    Full description at Econpapers || Download paper

  23. Euro Area Inflation: Aggregation Bias and Convergence. (2007). Fiess, Norbert ; Byrne, Joseph.
    In: Working Papers.
    RePEc:gla:glaewp:2007_41.

    Full description at Econpapers || Download paper

  24. Is the trend in post-WW II US real GDP uncertain or non-linear?. (2007). Vougas, Dimitrios.
    In: Economics Letters.
    RePEc:eee:ecolet:v:94:y:2007:i:3:p:348-355.

    Full description at Econpapers || Download paper

  25. Performance of LM-type unit root tests with trend break: A bootstrap approach. (2007). Chou, Win Lin.
    In: Economics Letters.
    RePEc:eee:ecolet:v:94:y:2007:i:1:p:76-82.

    Full description at Econpapers || Download paper

  26. Industrial business cycle linkages between Taiwan and the United States: Evidence from the IT industry. (2007). Chou, Win Lin ; Liang, Kuo-Yuan ; Gau, Joshua J. S., .
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:18:y:2007:i:3:p:439-447.

    Full description at Econpapers || Download paper

  27. The Nature of Regional Unemployment in Italy. (2006). Lanzafame, Matteo.
    In: ERSA conference papers.
    RePEc:wiw:wiwrsa:ersa06p155.

    Full description at Econpapers || Download paper

  28. The Nature of Regional Unemployment in Italy. (2006). Lanzafame, Matteo.
    In: Studies in Economics.
    RePEc:ukc:ukcedp:0607.

    Full description at Econpapers || Download paper

  29. Scale of variance, unit of data and the power of unit root tests under structural changes - a strategy for analysing Nelson-Plosser data. (2006). Hu, Teng-Yuan ; Chang, Meng-Shiuh.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:13:y:2006:i:1:p:51-56.

    Full description at Econpapers || Download paper

  30. Breaking trend panel unit root tests. (2006). Tam, Pui Sun.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:341.

    Full description at Econpapers || Download paper

  31. Panel Stationarity Test with Structural Breaks. (2006). Hadri, Kaddour ; Rao, Yao.
    In: Research Papers.
    RePEc:liv:livedp:200615.

    Full description at Econpapers || Download paper

  32. New Improved Tests for Cointegration with Structural Breaks. (2006). Westerlund, Joakim ; Edgerton, David.
    In: Working Papers.
    RePEc:hhs:lunewp:2006_003.

    Full description at Econpapers || Download paper

  33. Non-renewable resource prices: Deterministic or stochastic trends?. (2006). Strazicich, Mark ; List, John ; Lee, Junsoo.
    In: Journal of Environmental Economics and Management.
    RePEc:eee:jeeman:v:51:y:2006:i:3:p:354-370.

    Full description at Econpapers || Download paper

  34. Unit root testing. (2005). Hassler, Uwe ; Wolters, Jurgen.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:200523.

    Full description at Econpapers || Download paper

  35. Nonrenewable Resource Prices: Deterministic or Stochastic Trends?. (2005). Strazicich, Mark ; List, John ; Lee, Junsoo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11487.

    Full description at Econpapers || Download paper

  36. Panel Cointegration Tests with Deterministic Trends and Structural Breaks. (2005). Westerlund, Joakim ; Edgerton, David.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_042.

    Full description at Econpapers || Download paper

  37. Testing for Panel Cointegration with Multiple Structural Breaks. (2005). Westerlund, Joakim.
    In: Working Papers.
    RePEc:hhs:lunewp:2005_012.

    Full description at Econpapers || Download paper

  38. Quantifying Structural Change in U.S. Agriculture: The Case of Research and Productivity. (2004). Schimmelpfennig, David ; Oehmke, James.
    In: Journal of Productivity Analysis.
    RePEc:kap:jproda:v:21:y:2004:i:3:p:297-315.

    Full description at Econpapers || Download paper

  39. Time series analysis of private healthcare expenditures GDP: cointegration results with structural breaks. (2004). Jain, Nishant ; Bhat, Ramesh.
    In: IIMA Working Papers.
    RePEc:iim:iimawp:wp01822.

    Full description at Econpapers || Download paper

  40. LM-Type tests for a Unit Root Allowing for a Break in Trend. (2004). Nunes, Luis.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:190.

    Full description at Econpapers || Download paper

  41. Minimum LM Unit Root Test with One Structural Break. (2004). Strazicich, Mark ; Lee, Junsoo.
    In: Working Papers.
    RePEc:apl:wpaper:04-17.

    Full description at Econpapers || Download paper

  42. Stationarity of health expenditures and GDP: evidence from panel unit root tests with heterogeneous structural breaks. (2003). Strazicich, Mark ; Lee, Junsoo ; Jewell, Todd ; Tieslau, Margie.
    In: Journal of Health Economics.
    RePEc:eee:jhecon:v:22:y:2003:i:2:p:313-323.

    Full description at Econpapers || Download paper

  43. Breaking the panels. An application to the GDP per capita. (2003). Lopez-Bazo, Enrique ; del Barrio Castro, Tomás ; Carrion-i-Silvestre, Josep.
    In: Working Papers in Economics.
    RePEc:bar:bedcje:200397.

    Full description at Econpapers || Download paper

  44. Unit root tests for time series with level shifts: a comparison of different proposals. (2002). Lütkepohl, Helmut ; Lanne, Markku.
    In: Economics Letters.
    RePEc:eee:ecolet:v:75:y:2002:i:1:p:109-114.

    Full description at Econpapers || Download paper

  45. On the end-point issue in unit root tests in the presence of a structural break. (2000). Lee, Junsoo.
    In: Economics Letters.
    RePEc:eee:ecolet:v:68:y:2000:i:1:p:7-11.

    Full description at Econpapers || Download paper

  46. LM Unit Root Test with Panel Data: A Test Robust To Structural Changes. (2000). Lee, Junsoo ; Im, Kyung So .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0648.

    Full description at Econpapers || Download paper

  47. Testing for unit roots in time series with level shifts. (1999). Saikkonen, Pentti ; Lütkepohl, Helmut ; Lutkepohl, Helmut.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:199927.

    Full description at Econpapers || Download paper

  48. On stationary tests in the presence of structural breaks. (1997). shin, yongcheol ; Lee, Junsoo ; Huang, Cliff J..
    In: Economics Letters.
    RePEc:eee:ecolet:v:55:y:1997:i:2:p:165-172.

    Full description at Econpapers || Download paper

  49. Rank tests for unit roots. (1996). gourieroux, christian ; Breitung, Jörg.
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:19969.

    Full description at Econpapers || Download paper

  50. Testing the null of stationarity in the presence of structural breaks for multiple time series. (1994). Chul, Byung.
    In: Econometrics.
    RePEc:wpa:wuwpem:9411001.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-23 11:31:10 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.