New simple tests for panel cointegration

Westerlund, Joakim 2005, New simple tests for panel cointegration, Econometric reviews, vol. 24, no. 3, pp. 297-316, doi: 10.1080/07474930500243019.

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Title New simple tests for panel cointegration
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Journal name Econometric reviews
Volume number 24
Issue number 3
Start page 297
End page 316
Total pages 20
Publisher Taylor & Francis
Place of publication Oxford, Eng.
Publication date 2005
ISSN 0747-4938
1532-4168
Keyword(s) Monte Carlo simulation
Panel cointegration
Residual-based tests
Social Sciences
Science & Technology
Physical Sciences
Economics
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Statistics & Probability
Business & Economics
Mathematics
Mathematical Methods In Social Sciences
UNIT ROOTS
REGRESSION
VECTORS
MODELS
C12
C31
C33
Cross-Sectional Dependence
Monte Carlo Simulation.
Summary 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. Copyright © Taylor & Francis, Inc.
Language eng
DOI 10.1080/07474930500243019
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
Copyright notice ©2005, Taylor & Francis
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078233

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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