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.
Field of Research
159999 Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective
970115 Expanding Knowledge in Commerce, Management, Tourism and Services