Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5057733 | Economics Letters | 2017 | 4 Pages |
Abstract
â¢A nonlinear ECM based cointegration test is proposed.â¢The proposed test is the first nonlinear error correction based test in the panel cointegration literature.â¢The nonlinear ECM with logistic transition functions implies asymmetric adjustment.â¢This study utilizes a sieve bootstrap method for cross-section dependency problem.â¢Simulation results confirm the superiority of the nonlinear ECM-based test in finite samples performance.
We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Tolga Omay, Furkan Emirmahmutoglu, Zulal S. Denaux,