|Reference: ||Breitung, J., (2000), “The Local Power of Some Unit Root Tests for Panel Data,” Advances in Econometrics, 15, 161–178.|
Choi, I., (2001), “Unit Root Tests for Panel Data,” Journal of International Money and Finance, 20:249–272.
Christopoulos, Dimitris K. and Efthymios G. Tsionas, (2004), “Financial Development and Economic Growth: Evidence from Panel Unit Root and Cointegration Tests”, Journal of Development Economics, 73, 55-74
Coe, D. and E. Helpman, (1995), “International R&D Spillovers”, European Economic Review, 39, 859-887.
Collin-Dufresne, Pierre, Robert S. Goldstein, and J. Spencer Martin, (2001), “The Determinants of Credit Spread Changes”, Journal of Finance 56, 2177-2207.
Delianedis, Gordon, and Robert Geske, (2001), “The Components of Corporate Credit Spreads: Default, Recovery, Tax, Jumps, Liquidity, and Market Factors”, Working paper, UCLA.
Duffie, Darrell, and Kenneth J. Singleton, (1999), “ Modeling Term Structures of Defaultable Bonds”, Review of Financial Studies 12, 687-720.
Dungey, M., Vancel L. Martin and Adrian R. Pagan, (2000), “A Multivariate Latent Factor Decomposition of Internationa Bond Yield Spreads”, Journal of Applied Econometrics, 15, 697-715.
Elton, Edwin J., Martin J. Gruber, Deepak Agrawal, and Christopher Mann, (2001),”Explaining the Rate Spread on Corporate Bonds”, The Journal of Finance 56, 247-277.
Fisher, R. A., (1932), Statistical Methods for Research Workers, 4th Edition, Edinburgh: Oliver & Boyd.
Fleissig, Adrian R. and Jack Strauss, (2000), “Panel Unit Root Tests of Purchasing Power Parity for Price Indices”, Journal of International Money and Finance, 19, 489-506.
Fridson, M.S., and J.G. Jonsson, (1995), “Spread versus Treasuries and the Riskiness of High-Yield Bonds”, The Journal of Fixed Income, 5, 79-88.
Frank K. Reilly and David J. Wright, (2001), “Unique Risk-Return Characteristics of High-Yield Bond”, Journal of Fixed Income, September, 65-81.
Gande, A. and David C. Parsley, (2005), “News Spillovers in the Sovereign Debt Market”, Journal of Financial Economics, 75, 691-734.
Groen, Jan J.J. and Frank Kleibergen, (2003), “Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models”, Journal of Business & Economic Statistics, 21, 295-318
Hadri, Kaddour, (2000), “Testing for Stationarity in Heterogeneous Panel Data,” The Econometric Journal, 3, 148–161.
Helwege, J., and P. Kleiman, (1997), “Understanding High-Yield Bond Default Rates”, The Journal of Fixed Income, 5, 79-88.
Hernandez, L.F. and R.O. Valdes, (2001), “What Drives Contagion: Trade, Neighborhood, or Financial Links?”, Unpublished Working Paper, 01/29, International Monetary Fund, Washington, D.C.
Holtz-Eakin, D., Newey, W.K. and H. Rosen, (1998), “Estimating Vector Autoregressions with Panel Data”, Econometrica, 56, 1371-1395.
Hsiao, C., (2003), Analysis of Panel Data, Cambridge: Cambridge University Press.
Huang, Jing-zhi, and Ming Huang, (2003), “How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk?”, Working paper, Penn State University.
Huang Jing-Zhi and Weipeng Kong, (2003), “Explaining Credit Spread Changes: New Evidence from Option-Adjusted Bond Indexes”, Journal of Derivatives, Fall, 30-44.
Im, K. S., Pesaran, M. H., and Y. Shin, (2003), “Testing for Unit Roots in Heterogeneous Panels,” Journal of Econometrics, 115, 53–74.
Jarrow, R., and S. Turnbull, (2000), “The Intersection of Market Risk and Credit Risk”, Journal of Banking and Finance, 24, 271-299.
Lang, L.H.P. and R.M. Stulz, (1992), “Contagion and Competitive Intra-Industry Effects of Bankruptcy Announcements”, Journal of Financial Economics, 32(1), 45-60.
Kaminsky, G.L., and C.M. Reinhart, (2000), “On Crises, Contagion, and Confusion”, Journal of International Economics, 51(1), 145-168.
Kaminsky, G.L., and C.M. Reinhart, (2001), “Bank Lending and Contagion: Evidence from the Asian Crises”, Regional and Global Capital Flows: Macroeconomic Causes and Consequences, vol. 10, Chicago: University of Chicago Press for NBER.
Kaminsky, G.L., and C.M. Reinhart, (2002), “Financial Markets under Stress”, Journal of Development Economics, 69(2), 451-470.
Kaminsky, G.L., and S.L. Schmukler, (2002), “Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?”, World Bank Economic Review, 16, 171-195.
Kao, Chihwa, Min-Hsien Chiang and Bangtian Chen, (1999), “International R&D Spillover: An Application of Estimation and Inference in Panel Cointegration”, Oxford Bulletin of Economics and Statistics, 691-709.
Kao, C., (1999), “Spurious Regression and Residual-Based Tests for Cointegration in Panel Data”, Journal of Econometrics, 90, 1-44.
Kao, C. and Chiang, M.-H., (2000), “On the Estimation and Inference of a Cointegrated Regression in Panel Data”, Advances in Econometrics, 15, 179-222.
Kao, D.L., (2000), “Estimating and Pricing Credit Risk: An Overview”, Financial Analysts Journal, July/August, 50-66.
Kim, Hongkee; Oh, Keun-Yeob; Jeong, Chan-Woo, (2005), “Panel Cointegration Results on International Capital Mobility in Asian Economies”, Journal of International Money and Finance, 1, 71-82.
Levin, A., Lin, C. F., and C. Chu, (2002), “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties,” Journal of Econometrics, 108, 1–24.
Maddala, G. S. and S. Wu , (1999), “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test,” Oxford Bulletin of Economics and Statistics, 61, 631–52.
Micu, M., Eli M. Remolona, and Philip D. Wooldridge, (2004), “The Price Impact of Rating Announcements:Evidence from the Credit Default Swap Market”, BIS Quarterly Reivew, 55-65.
Newey, W. and K. West, (1987), “A Simple Positive Semi-Definite, Heteroscadasticity and Autocorrelation Consistent Covariance Matrix”, Econometrica, 50, 708-8.
Nieh, Chien-Chung and Cheng-Few Lee, (2001), “Dynamic Relationship between Stock Prices and Exchange Rates for G-7 Countries”, The Quarterly Review of Economics and Finance, 41, 477-490
Park, J.Y. & P.C.B. Phillips, (1988), “Statistical Inference in Regressions with Integrated Processes”, part 1, Econometric Theory 4, 468-497.
Pedroni, Peter, (1996), “Fully Modified OLS for Heterogeneous Cointegrated Panels and the Case of Purchasing Power Parity”, Indian University Working Papers in Economics, No.96-020.
Pedroni, Peter, (1999), “Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors”, Oxford Bulletin of Economics and Statistics 61, 653-670.
Pedroni, Peter, (2000), “Fully Modified OLS for Heterogeneous Cointegrated Panels”, Advances in Econometrics, 15, 93-130.
Pedroni, Peter, (2004), "Panel Cointegration; Asymptotic and Finite
Sample Properties of Pooled Time Series Tests with an Application to
the PPP Hypothesis," Econometric Theory, 20, 597-625.
Pedrosa, M and R. Roll, (1998), “Systematic Risk in Corporate Bond Credit Spreads”, Journal of Fixed Income, December, 7-26.
Phillips, P.C.B. & S. Durlauf, (1986), “Multiple Time Series Regression with Integrated Processes”, Review of Econometrica 53, 473-495.
Phillips, P.C.B. and P. Perron, (1988), “Testing for a Unit Root in Time Series Regression”, Biometrika, 75, 335–346.
Phillips, P.C.B. and H. Moon, (1999), “Linear Regress Limit Theory for Nonstationary Panel Data”, Econometrica, 67, 1057-1111.
Shen, Chung-Hua, (2000), “Banking and Currency Crises: Are They Really Twin?”, Working Paper, Chengchi University.
Stouffer, S.A., Suchman, E.A., DeVinney, L.C., Star, S.A., Williams, R.M. Jr, (1949), The American Soldier, I. Princeton University Press, Princeton, NJ.
Van Horne, J., (2001), Financial Market Rates and Flows, 6th ed. Englewood Cliffs, NJ:Prentice-Hall.