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, doi: 10.1002/jae.1143.

Attached Files
Name Description MIMEType Size Downloads

Title A new poolability test for cointegrated panels
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
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
DOI 10.1002/jae.1143
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

Connect to link resolver
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 6 times in TR Web of Science
Scopus Citation Count Cited 9 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 518 Abstract Views, 18 File Downloads  -  Detailed Statistics
Created: Fri, 27 Jul 2012, 10:17:55 EST by Leanne Swaneveld

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.