Do Panel Cointegration Tests Produce Mixed Signals ?

It was recently shown that time series cointegration tests, even in the presence of large sample sizes, often yield conicting conclusions (\mixed signals") as measured by, inter alia, a low correlation of empirical p-values. We present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than between tests of the same group.

MoreLess

Year of publication:	2012
Authors:	HANCK, Christoph
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 2012, 107-108
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

More details

Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010852197