Testing for panel cointegration with a level break
Publikation/Tidskrift/Serie: Economics Letters
This paper proposes four simple tests for the null hypothesis of no cointegration in the presence of a level break. The tests are general enough to allow for endogenous regressors, serial correlation and heterogeneous breaks of unknown timing. The limiting distributions of the tests are derived and critical values are provided. We also conduct a small Monte Carlo study to investigate their finite sample properties. (c) 2005 Elsevier B.V. All rights reserved.
- Business and Economics
- panel cointegration tests
- structural break
- ISSN: 0165-1765