derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that … hypothesis and cointegration tests based on it perform well in small sample; this is in marked contrast to the small sample …

's tests to detect a cointegration relationship significantly deteriorates under two empirically plausible circumstances: (i … ) when, in addition to a cointegration relationship, a system features one or more "nuisance" series - i.e., series driven by … permanent shocks different from those driving the cointegration relationship; and (ii ) when a system features multiple …