Hidden panel cointegration
This paper focuses on an important empirical and methodological research question, namely possibly asymmetric and hence nonlinear cointegrating relationships between variables. It extends the Granger and Yoon (2002) method on hidden cointegration for time series data to a panel data framework. Solut...
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| Format: | Article |
| Language: | English |
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Elsevier
2020-01-01
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| Series: | Journal of King Saud University: Science |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1018364718304841 |