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Testing for error correction in panel data

Westerlund, Joakim 2007, Testing for error correction in panel data, Oxford bulletin of economics and statistics, vol. 69, no. 6, pp. 709-748, doi: 10.1111/j.1468-0084.2007.00477.x.

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Title Testing for error correction in panel data
Author(s) Westerlund, Joakim
Journal name Oxford bulletin of economics and statistics
Volume number 69
Issue number 6
Start page 709
End page 748
Total pages 40
Publisher Wiley
Place of publication Chichester, Eng.
Publication date 2007-12
ISSN 0305-9049
1468-0084
Keyword(s) Social Sciences
Science & Technology
Physical Sciences
Economics
Social Sciences, Mathematical Methods
Statistics & Probability
Business & Economics
Mathematical Methods In Social Sciences
Mathematics
HEALTH-CARE EXPENDITURE
UNIT-ROOT TESTS
HETEROGENEOUS PANELS
COINTEGRATION TESTS
CORRECTION MODELS
INFERENCE
GDP
DETERMINANTS
REGRESSIONS
SYSTEMS
C12
C32
C33
O30
Panel Cointegration Test
Monte Carlo Simulation
Common Factor Restriction
International Health Care Expenditures.
Summary This paper proposes new error correction-based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values provided. Our simulation results suggest that the tests have good small-sample properties with small size distortions and high power relative to other popular residual-based panel cointegration tests. In our empirical application, we present evidence suggesting that international healthcare expenditures and GDP are cointegrated once the possibility of an invalid common factor restriction has been accounted for. © 2007 Blackwell Publishing Ltd.
Language eng
DOI 10.1111/j.1468-0084.2007.00477.x
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, Wiley
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078236

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