Testing for error correction in panel data
Författare
Summary, in English
This paper proposes new error correction-based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values provided. Our simulation results suggest that the tests have good small-sample properties with small size distortions and high power relative to other popular residual-based panel cointegration tests. In our empirical application, we present evidence suggesting that international healthcare expenditures and GDP are cointegrated once the possibility of an invalid common factor restriction has been accounted for.
Avdelning/ar
Publiceringsår
2007
Språk
Engelska
Sidor
709-748
Publikation/Tidskrift/Serie
Oxford Bulletin of Economics and Statistics
Volym
69
Issue
6
Länkar
Dokumenttyp
Artikel i tidskrift
Förlag
Wiley-Blackwell
Ämne
- Economics
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1468-0084