A New Poolability Test for Cointegrated Panels

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small samples. An empirical application to the monetary exchange rate model is also provided

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Year of publication:	2013
Authors:	Westerlund, Joakim
Other Persons:	Hess, Wolfgang (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Panel \| Panel study \| Theorie \| Theory \| Kointegration \| Cointegration \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Schätzung \| Estimation
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Applied Econometrics, Vol. 26 (1), pp. 56-88 Volltext nicht verfügbar
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models ; C33 - Models with Panel Data ; F31 - Foreign Exchange ; F41 - Open Economy Macroeconomics
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013075469