A sequential panel selection approach to cointegration analysis: An application to Wagner's law for South African provincial data

This study extends the recently introduced sequential panel selection method (SPSM) to a cointegration framework which is particularly used to investigate Wagner’s law for 9 South African provinces between 2001 and 2016. We note that when applying single country/region estimates we fail to find evidence of cointegration whereas within panel regressions, cointegration effects are present for the entire dataset. In further applying the SPSM we observed significant Wagner’s effects for panels inclusive of Gauteng, Eastern Cape and Kwazulu-Natal provinces and when these provinces are excluded from the panels, cointegration effects are unobserved.