Meny

Javascript verkar inte påslaget? - Vissa delar av Lunds universitets webbplats fungerar inte optimalt utan javascript, kontrollera din webbläsares inställningar.
Du är här

Simple Tests for Cointegration in Dependent Panels with Structural Breaks

Publiceringsår: 2008
Språk: Engelska
Sidor: 665-704
Publikation/Tidskrift/Serie: Oxford Bulletin of Economics and Statistics
Volym: 70
Nummer: 5
Dokumenttyp: Artikel

Sammanfattning

This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. Asmall simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis.

Disputation

Nyckelord

  • Business and Economics

Övriga

Published
Yes

Box 117, 221 00 LUND
Telefon 046-222 00 00 (växel)
Telefax 046-222 47 20
lu [at] lu [dot] se

Fakturaadress: Box 188, 221 00 LUND
Organisationsnummer: 202100-3211
Om webbplatsen