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Unit Roots and Cointegration in Panels

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0031
Subject:
Economics and Finance, Econometrics

This chapter reviews the theoretical literature on testing for unit roots and cointegration in panels where the time dimension (T) and the cross section dimension (N) are relatively large. The ... More


Auxiliary Modeling Procedures

David McDowall, Richard McCleary, and Bradley J. Bartos

in Interrupted Time Series Analysis

Published in print:
2019
Published Online:
February 2021
ISBN:
9780190943943
eISBN:
9780190943981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190943943.003.0005
Subject:
Sociology, Social Research and Statistics

Chapter 5 describes three sets of auxiliary methods that have emerged as add-on supplements to the traditional ARIMA model-building strategy. First, Bayesian information criteria (BIC) can be used to ... More


Unit Root Processes

M. Hashem Pesaran

in Time Series and Panel Data Econometrics

Published in print:
2015
Published Online:
March 2016
ISBN:
9780198736912
eISBN:
9780191800504
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780198736912.003.0015
Subject:
Economics and Finance, Econometrics

This chapter compares the properties of unit root processes with stationary processes, and considers alternative ways of testing for unit roots. The discussions cover difference stationary processes; ... More


Random Walks, Unit Roots, and Spurious Relationships

Jeffrey S. Racine

in Reproducible Econometrics Using R

Published in print:
2019
Published Online:
January 2019
ISBN:
9780190900663
eISBN:
9780190933647
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780190900663.003.0002
Subject:
Economics and Finance, Econometrics

This chapter outlines pitfalls of using standard inference procedures common in cross- sectional settings in time series settings and presents alternative procedures. It also addresses the issue of ... More


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