Finite Sample Correction Factors for Panel Cointegration Tests

In this paper we present finite "T" mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in <link rid="b15 b16">Pedroni (1999, 2004)</link>, <link rid="b21">Westerlund (2005)</link>, <link rid="b12">Larsson "et al." (2001)</link> and <link rid="b6">Breitung (2005)</link>. For the single equation tests, we consider up to 12 regressors and for the system tests vector autoregression dimensions up to 12 variables. All commonly used specifications for the deterministic components are considered. The sample sizes considered are "T"  is an element of  &lcub;10,20,30,40,50,60,70,80,90,100,200,500&rcub;. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2009.