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
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Panel \| Kointegration \| Meta-Analyse \| Theorie \| panel cointegration tests \| Monte Carlo study \| meta analysis

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Series:	Technical Report ; 2007,02
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	534716717 [GVK] hdl:10419/24989 [Handle] RePEc:zbw:sfb475:200702 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010298187