New simple tests for panel cointegration
(2005) In Econometric Reviews 24(3). p.297-316- Abstract
- In this paper, two new simple residual-based panel data tests are proposed for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, and individual specific slope parameters. The limiting distributions of the tests are derived and are shown to be free of nuisance parameters. The Monte Carlo results in this paper suggest that the asymptotic results are borne out well even in very small samples.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/222266
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2005
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Monte Carlo simulation, panel cointegration, residual-based tests
- in
- Econometric Reviews
- volume
- 24
- issue
- 3
- pages
- 297 - 316
- publisher
- Taylor & Francis
- external identifiers
-
- wos:000232297900003
- scopus:25444453188
- ISSN
- 0747-4938
- DOI
- 10.1080/07474930500243019
- language
- English
- LU publication?
- yes
- id
- 63daf139-ff42-418e-a2c3-98a962941106 (old id 222266)
- date added to LUP
- 2016-04-01 16:28:33
- date last changed
- 2022-04-22 21:46:30
@article{63daf139-ff42-418e-a2c3-98a962941106, abstract = {{In this paper, two new simple residual-based panel data tests are proposed for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, and individual specific slope parameters. The limiting distributions of the tests are derived and are shown to be free of nuisance parameters. The Monte Carlo results in this paper suggest that the asymptotic results are borne out well even in very small samples.}}, author = {{Westerlund, Joakim}}, issn = {{0747-4938}}, keywords = {{Monte Carlo simulation; panel cointegration; residual-based tests}}, language = {{eng}}, number = {{3}}, pages = {{297--316}}, publisher = {{Taylor & Francis}}, series = {{Econometric Reviews}}, title = {{New simple tests for panel cointegration}}, url = {{http://dx.doi.org/10.1080/07474930500243019}}, doi = {{10.1080/07474930500243019}}, volume = {{24}}, year = {{2005}}, }