Testing for panel cointegration with a level break
This paper proposes four simple tests for the null hypothesis of no cointegration in the presence of a level break. The tests are general enough to allow for endogenous regressors, serial correlation and heterogeneous breaks of unknown timing. The limiting distributions of the tests are derived and critical values are provided. We also conduct a small Monte Carlo study to investigate their finite sample properties. © 2005 Elsevier B.V. All rights reserved.
History
Journal
Economics lettersVolume
91Pagination
27-33Location
Amsterdam, The NetherlandsPublisher DOI
ISSN
0165-1765Language
engPublication classification
C1.1 Refereed article in a scholarly journalCopyright notice
2006, ElsevierIssue
1Publisher
ElsevierUsage metrics
Categories
Keywords
Licence
Exports
RefWorksRefWorks
BibTeXBibTeX
Ref. managerRef. manager
EndnoteEndnote
DataCiteDataCite
NLMNLM
DCDC