Simple Tests for Cointegration in Dependent Panels with Structural Breaks
(2008) In Oxford Bulletin of Economics and Statistics 70(5). p.665-704- Abstract
- This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. Asmall simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1388398
- author
- Westerlund, Joakim LU and Edgerton, David LU
- organization
- publishing date
- 2008
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Oxford Bulletin of Economics and Statistics
- volume
- 70
- issue
- 5
- pages
- 665 - 704
- publisher
- Wiley-Blackwell
- external identifiers
-
- scopus:52049121862
- ISSN
- 1468-0084
- language
- English
- LU publication?
- yes
- id
- b149ff87-caed-4e2a-8e91-bed1bfe522b5 (old id 1388398)
- date added to LUP
- 2016-04-04 14:10:42
- date last changed
- 2022-04-24 03:53:34
@article{b149ff87-caed-4e2a-8e91-bed1bfe522b5, abstract = {{This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. Asmall simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis.}}, author = {{Westerlund, Joakim and Edgerton, David}}, issn = {{1468-0084}}, language = {{eng}}, number = {{5}}, pages = {{665--704}}, publisher = {{Wiley-Blackwell}}, series = {{Oxford Bulletin of Economics and Statistics}}, title = {{Simple Tests for Cointegration in Dependent Panels with Structural Breaks}}, volume = {{70}}, year = {{2008}}, }