Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors.

Asymptotic distributions and critical values are computed for several residual-based tests of the null of no cointegration in panels for the case of multiple regressors, including regressions with individual-specific fixed effects and time trends. The associated cointegrating vectors and the dynamics of the underlying error processes are permitted considerable heterogeneity across individual members of the panel. Copyright 1999 by Blackwell Publishing Ltd

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Year of publication:	1999
Authors:	Pedroni, Peter
Published in:	Oxford Bulletin of Economics and Statistics. - Department of Economics, ISSN 0305-9049. - Vol. 61.1999, Special Issue Nov., p. 653-70
Publisher:	Department of Economics

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005682172