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Mixed signals among tests for panel cointegration

Version 2 2024-06-03, 16:01
Version 1 2015-09-07, 14:43
journal contribution
posted on 2024-06-03, 16:01 authored by Joakim WesterlundJoakim Westerlund, SA Basher
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.

History

Journal

Economic modelling

Volume

25

Pagination

128-136

Location

Amsterdam, The Netherlands

ISSN

0264-9993

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal, C Journal article

Copyright notice

2007, Elsevier B.V.

Issue

1

Publisher

Elsevier