J
Jean-Pierre Urbain
Researcher at Maastricht University
Publications - 86
Citations - 2515
Jean-Pierre Urbain is an academic researcher from Maastricht University. The author has contributed to research in topics: Cointegration & Panel data. The author has an hindex of 27, co-authored 86 publications receiving 2373 citations. Previous affiliations of Jean-Pierre Urbain include University of Liège.
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On weak exogeneity in error correction models
TL;DR: In this article, the authors discuss the appropriateness of treating explanatory variables of a single-equation error correction model as being weakly exogenous and point out the potential pitfalls of working within incomplete simultaneous dynamic equation models for exogeneity tests.
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Common stochastic trends in European stock markets
TL;DR: In this paper, the authors investigate whether price indices of different European stock markets display a common long-run trending behavior using cointegration analysis, and provide empirical evidence of common stochastic trends among five important European stock market over the period 1975-1991.
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Panel unit root tests in the presence of cross-sectional dependencies: comparison and implications for modelling
TL;DR: In this article, the authors compare the testing procedures in terms of similarities and differences in the data generation process, tests, null, and alternative hypotheses considered, using Monte Carlo results.
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Cross-sectional averages versus principal components ☆
TL;DR: In this paper, the relative merits of the two main approaches to estimation and inference, namely, the cross-sectional average and principal component estimators, are compared for factor-augmented regressions.
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Cointegration Testing in Panels with Common Factors
TL;DR: In this article, the authors proposed a model for panel no-cointegration using an unobserved common factor structure, following the study by Bai and Ng [Econometrica (2004), Vol. 72, pp. 1127-1177] for panel unit roots.