In this paper we compare the size and the power of four cointegration tests in heterogeneous panel data, with both …) types of cointegration tests in panel data), (ii) McCoskey and Kao (1998) Test (Residual based LM Test for cointegration in … the null hypothesis of cointegration. Through Monte Carlo simulations, we examine whether the panel data procedures have …

Abstract: In this paper, we study the small sample properties of the panel data stationarity test of Hadri (2000). We … find that the previously suggested moments, that are to be used when standardizing the panel data stationarity test, cause … standardizing moments that are to be used in a panel data stationarity test when samples are small and serial correlation in the …

The purpose of this paper is to examine the relevance of applying nonlinear panel unit root test to examine the non …-linear mean reversion behaviors of real exchange rates. We find that nonlinear panel unit root test may achieve lower power … performance as compared to its alternative of linear panel unit test when the data generating process does not contain significant …

This paper analyzes a growing group of fixed T dynamic panel data estimators with a multi-factor error structure. We … may frequently arise, such as their ability to accommodate unbalanced panels. Using a large-scale simulation exercise, we …

. This paper proposes a new estimator for non-stationary panel data models, a bandspectrum cointegration estimator. The … bandspectrum cointegration estimator uses first differenced data to avoid spurious results. Such estimates are, however, less … efficient than estimates from a model with non-stationary data. Still, simulation results in the paper show that the …

This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating …. The homogenous restriction test statistic is chi^2. A Monte Carlo simulation investigates the small sample properties of …

This paper presents a likelihood-based panel test of cointegrating rank in heterogeneous panel models based on the mean …

In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic … derived which is shown to work well in finite samples; particularly when N is smaller than T. Our panel tests are robust to … possible cointegration across units. …

This paper develops a simulation estimation algorithm that is particularly useful for estimating dynamic panel data …

Our goal in this chapter is to explain concretely how to implement simulation methods in a very general class of models … that are extremely useful in applied work: dynamic discrete choice models where one has available a panel of multinomial …