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

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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Bibliographic Details
Main Authors: Oyebayo Ridwan Olaniran, Saidat Fehintola Olaniran, Ali Rashash R. Alzahrani, Nada MohammedSaeed Alharbi, Asma Ahmad Alzahrani
Format: Article
Language:English
Published: MDPI AG 2025-05-01
Series:Mathematics
Subjects:
fractional cointegration
panel data
fixed effect models
residual-based test
Bayesian estimation
tapering
Online Access:https://www.mdpi.com/2227-7390/13/10/1615
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