New simple tests for panel cointegration
Författare
Summary, in English
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.
Avdelning/ar
Publiceringsår
2005
Språk
Engelska
Sidor
297-316
Publikation/Tidskrift/Serie
Econometric Reviews
Volym
24
Issue
3
Dokumenttyp
Artikel i tidskrift
Förlag
Taylor & Francis
Ämne
- Economics
Nyckelord
- Monte Carlo simulation
- panel cointegration
- residual-based tests
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0747-4938