Abstract
In this paper we employ a new Bayesian approach within a cointegrating regression framework along the lines of Breitung (J Bus Econ Stat 19:331–340, 2001). We extend this fully to the case of panel data framework with general cross-sectional dependence. We argue that our Bayesian technique does not depend on asymptotic critical values and in our empirical application we do find strong evidence of nonlinear cointegrated relationships between local (SO2 and NOX) and global (CO2) emissions with the level of economic growth.
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Notes
The tests are approximately correctly sized for small n and T greater than 30 and large n for T greater than 15.
To preserve space the results are available upon request.
We greatly thank an anonymous reviewer of this journal for raising this.
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The authors wish to thank the Editor (H. Folmer) and two anonymous referees for their constructive comments on an earlier version of this paper. The usual disclaimer applies.
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Polemis, M.L., Tsionas, M.G. Bayesian nonlinear panel cointegration: an empirical application to the EKC hypothesis. Lett Spat Resour Sci 12, 113–120 (2019). https://doi.org/10.1007/s12076-019-00230-4
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DOI: https://doi.org/10.1007/s12076-019-00230-4