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Error Correction Testing in Panels with Common Stochastic Trends

Gengenbach, Christian; Urbain, Jean Pierre and Westerlund, Joakim LU (2016) In Journal of Applied Econometrics 31(6). p.982-1004
Abstract

This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples. Copyright © 2015 John Wiley & Sons, Ltd.

Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Panel cointegration, error correction, common factors
in
Journal of Applied Econometrics
volume
31
issue
6
pages
23 pages
publisher
John Wiley & Sons
external identifiers
  • scopus:84989261628
  • wos:000385435500003
ISSN
0883-7252
DOI
10.1002/jae.2475
language
English
LU publication?
yes
id
a6a25659-2021-49d5-9c02-b657ddf00368 (old id 5257200)
date added to LUP
2015-03-31 16:04:00
date last changed
2017-10-29 03:17:06
@article{a6a25659-2021-49d5-9c02-b657ddf00368,
  abstract     = {<p>This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples. Copyright © 2015 John Wiley &amp; Sons, Ltd.</p>},
  author       = {Gengenbach, Christian and Urbain, Jean Pierre and Westerlund, Joakim},
  issn         = {0883-7252},
  keyword      = {Panel cointegration,error correction,common factors},
  language     = {eng},
  number       = {6},
  pages        = {982--1004},
  publisher    = {John Wiley & Sons},
  series       = {Journal of Applied Econometrics},
  title        = {Error Correction Testing in Panels with Common Stochastic Trends},
  url          = {http://dx.doi.org/10.1002/jae.2475},
  volume       = {31},
  year         = {2016},
}