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A new poolability test for cointegrated panels

journal contribution
posted on 2011-01-01, 00:00 authored by Joakim WesterlundJoakim Westerlund, W Hess
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.

History

Journal

Journal of applied econometrics

Volume

26

Issue

1

Pagination

56 - 88

Publisher

Wiley

Location

London, England

ISSN

0883-7252

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2009, John Wiley & Sons

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