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IDENTIFYING LATENT GROUPED PATTERNS IN COINTEGRATED PANELS

Huang, WX; Jin, SN; Su, LJ

Su, LJ (corresponding author), Singapore Management Univ, Sch Econ, 90 Stamford Rd, Singapore 178903, Singapore.

ECONOMETRIC THEORY, 2020; 36 (3): 410

Abstract

We consider a panel cointegration model with latent group structures that allows for heterogeneous long-run relationships across groups. We extend Su,......

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