A new poolability test for cointegrated panels

Westerlund, Joakim and Hess, Wolfgang 2011, A new poolability test for cointegrated panels, Journal of applied econometrics, vol. 26, no. 1, pp. 56-88.

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Title A new poolability test for cointegrated panels
Author(s) Westerlund, Joakim
Hess, Wolfgang
Journal name Journal of applied econometrics
Volume number 26
Issue number 1
Start page 56
End page 88
Total pages 33
Publisher Wiley
Place of publication London, England
Publication date 2011-01
ISSN 0883-7252
Summary This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small samples. An empirical application to the monetary exchange rate model is also provided.
Language eng
Field of Research 159999 Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective 970115 Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2009, John Wiley & Sons
Persistent URL http://hdl.handle.net/10536/DRO/DU:30046280

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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