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 forcointegration 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 seven tests being simulated. In all cases, results on empirical size and size-adjusted power are given.

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Year of publication:	1999-03
Authors:	McCoskey, Suzanne ; Kao, Chihwa
Institutions:	Center for Policy Research, Maxwell School

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Extent:	application/pdf
Series:	Center for Policy Research Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 3 45 pages
Classification:	C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005698377