Meta-analytic cointegrating rank tests for dependent panels

by Deniz Dilan Karaman Örsal and Antonia Arsova

This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples.

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Year of publication:	2015
Authors:	Karaman Örsal, Deniz Dilan ; Arsova, Antonia
Publisher:	Lüneburg : Univ., Inst. für Volkswirtschaftslehre
Subject:	Panel cointegration \| p-value \| common factors \| rank test \| crosssectional dependence \| Kointegration \| Cointegration \| Panel \| Panel study \| Theorie \| Theory \| Statistischer Test \| Statistical test \| Ranking-Verfahren \| Ranking method \| Zeitreihenanalyse \| Time series analysis

Extent:	Online-Ressource (11 S.)
Series:	University of Lüneburg Working paper series in economics. - Lüneburg : Inst. für Volkswirtschaftslehre, ISSN 2944-1226, ZDB-ID 2238516-2. - Vol. 349
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/126545 [Handle]
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C33 - Models with Panel Data
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011392830