Bayesian Tapered Narrowband Least Squares for Fractional Cointegration Testing in Panel Data

Fractional cointegration has been extensively examined in time series analysis, but its extension to heterogeneous panel data with unobserved heterogeneity and cross-sectional dependence remains underdeveloped. This paper develops a robust framework for testing fractional cointegration in heterogene...

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Bibliografski detalji

Glavni autori:	Oyebayo Ridwan Olaniran, Saidat Fehintola Olaniran, Ali Rashash R. Alzahrani, Nada MohammedSaeed Alharbi, Asma Ahmad Alzahrani
Format:	Artigo
Jezik:	Inglês
Izdano:	MDPI AG 2025-05-01
Serija:	Mathematics
Teme:	fractional cointegration panel data fixed effect models residual-based test Bayesian estimation tapering
Online pristup:	https://www.mdpi.com/2227-7390/13/10/1615
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