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Error correction testing in panels with common stochastic trends

Gengenbach, Christian, Urbain, Jean-Pierre and Westerlund, Joakim 2016, Error correction testing in panels with common stochastic trends, Journal of applied econometrics, vol. 31, no. 6, pp. 982-1004, doi: 10.1002/jae.2475.

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Title Error correction testing in panels with common stochastic trends
Author(s) Gengenbach, Christian
Urbain, Jean-Pierre
Westerlund, Joakim
Journal name Journal of applied econometrics
Volume number 31
Issue number 6
Start page 982
End page 1004
Total pages 23
Publisher Wiley
Place of publication Chichester, Eng.
Publication date 2016-09-01
ISSN 0883-7252
1099-1255
Summary This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples. Copyright © 2015 John Wiley & Sons, Ltd.
Language eng
DOI 10.1002/jae.2475
Field of Research 140299 Applied Economics not elsewhere classified
140304 Panel Data Analysis
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2016, Wiley
Persistent URL http://hdl.handle.net/10536/DRO/DU:30088165

Document type: Journal Article
Collection: Department of Economics
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