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New simple tests for panel cointegration

Författare:
Publiceringsår: 2005
Språk: Engelska
Sidor: 297-316
Publikation/Tidskrift/Serie: ECONOMETRIC REVIEWS
Volym: 24
Nummer: 3
Dokumenttyp: Artikel
Förlag: TAYLOR & FRANCIS INC

Sammanfattning

In this paper, two new simple residual-based panel data tests are proposed for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, and individual specific slope parameters. The limiting distributions of the tests are derived and are shown to be free of nuisance parameters. The Monte Carlo results in this paper suggest that the asymptotic results are borne out well even in very small samples.

Disputation

Nyckelord

  • Mathematics and Statistics
  • Business and Economics
  • Monte Carlo simulation
  • panel cointegration
  • residual-based tests

Övriga

Published
Yes
  • ISSN: 0747-4938

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