A meta analytic approach to testing for panel cointegration

We propose new tests for panel cointegration by extending the panel unit root of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widely used panel cointegration tests.

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Year of publication:	2007
Authors:	Hanck, Christoph
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	panel cointegration tests \| Monte Carlo study \| meta analysis

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2007,02
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009216909