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New simple tests for panel cointegration

Westerlund, Joakim LU (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.
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author
organization
publishing date
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
2007-08-20 15:31:54
date last changed
2017-10-22 04:41:30
@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},
  keyword      = {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},
  volume       = {24},
  year         = {2005},
}