A Monte Carlo Comparison of Tests for Cointegration in Panel Data

This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed for cointegration in panel data. In particular, tests for two panel models, varying intercepts and varying slopes and varying intercepts and common slopes, are presented from the literature with a total of five tests being simulated. In all cases, results on empirical size and size-adjusted power are given.

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Year of publication:	1997-12-20
Authors:	McCoskey, Suzanne ; Kao, Chihwa
Institutions:	EconWPA
Subject:	Panel Cointegration

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Extent:	application/postscript application/pdf
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Type of Document - Tex; prepared on IBM PC ; to print on HP/PostScript; pages: 44 44 pages
Classification:	C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005407941