Mixed signals among tests for panel cointegration

Westerlund, Joakim and Basher, Syed A. 2008, Mixed signals among tests for panel cointegration, Economic modelling, vol. 25, no. 1, pp. 128-136, doi: 10.1016/j.econmod.2007.05.003.

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Title Mixed signals among tests for panel cointegration
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Basher, Syed A.
Journal name Economic modelling
Volume number 25
Issue number 1
Start page 128
End page 136
Total pages 9
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2008-01
ISSN 0264-9993
Keyword(s) Cointegration testing
Panel data
Parametric and semiparametric methods
Social Sciences
Business & Economics
Summary In this paper, we study the effect that different serial correlation adjustment methods can have on panel cointegration testing. As an example, we consider the very popular tests developed by Pedroni [Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics 61, 653670., Pedroni, P. (2004). Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric Theory 20, 597-625.]. Results based on both simulated and real data suggest that different adjustment methods can lead to significant variations in test outcome, and thus also in the conclusions. © 2007 Elsevier B.V. All rights reserved.
Language eng
DOI 10.1016/j.econmod.2007.05.003
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2007, Elsevier B.V.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078219

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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