Nonlinear error correction based cointegration test in panel data

C-Tier

Journal: Economics Letters

Year: 2017

Volume: 157

Issue: C

Pages: 1-4

Authors (3)

Omay, Tolga (Atılım Üniversitesi) Emirmahmutoglu, Furkan (Ankara Hacı Bayram Veli Üniver...) Denaux, Zulal S. (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties.