Adina I. Tarcolea

Goethe University Frankfurt

Grüneburgplatz 1

Frankfurt am Main, 60323

Germany

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IV‐Based Cointegration Testing in Dependent Panels with Time‐Varying Variance

Journal of Time Series Analysis, Vol. 35, Issue 5, pp. 393-406, 2014
Number of pages: 14 Posted: 27 Aug 2014
Matei Demetrescu, Christoph Hanck and Adina I. Tarcolea
Goethe University Frankfurt - Faculty of Economics and Business Administration, University of Dortmund - Department of Statistics and Goethe University Frankfurt
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Abstract:

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heteroskedasticity, dependent units, cointegration, instrumental variable