Mixed Signals Among Tests for Panel Cointegration

In this paper, we study the effect that different serial correlation adjustment methods can have on panel cointegration testing. As an example, we consider the very popular tests developed by Pedroni (1999, 2004). Results based on both simulated and real data suggest that different adjustment methods can lead to significant variations in test outcome, and thus also in the conclusions.

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Year of publication:	2007-05-16
Authors:	Westerlund, Joakim ; Basher, Syed A.

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Westerlund, Joakim and Basher, Syed A. (2007): Mixed Signals Among Tests for Panel Cointegration. Forthcoming in: Economic Modelling
Classification:	C32 - Time-Series Models ; C33 - Models with Panel Data ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	BASE

Persistent link: https://www.econbiz.de/10015227977