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Reducing the size distortions of the panel LM Test for cointegration

Westerlund, Joakim LU (2006) In Economics Letters 90(3). p.384-389
Abstract
This paper proposes a simple procedure to reduce the size distortions of the panel LM test for cointegration. The new procedure is based on first splitting the sample into even and odd numbered observations, and to employ the panel LM test to each subsample. The two tests are then combined using the Bonferroni principle as suggested by Choi [Choi, I., 2004, Improving the empirical size of the KPSS Test of stationarity, unpublished manuscript, Department of Economics, Hong Kong University of Science and Technology]. The Monte Carlo evidence suggests that this procedure can lead to substantial reduction in size distortions when the equilibrium errors are autoregressive. (c) 2005 Elsevier B.V. All rights reserved.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
bonferroni inequality, panel cointegration, size distortion
in
Economics Letters
volume
90
issue
3
pages
384 - 389
publisher
Elsevier
external identifiers
  • wos:000236212100015
  • scopus:33344465203
ISSN
0165-1765
DOI
10.1016/j.econlet.2005.09.002
language
English
LU publication?
yes
id
443ca6cb-5eb6-4607-bc3d-fa5c08e15002 (old id 693466)
date added to LUP
2016-04-01 11:59:58
date last changed
2020-12-16 01:57:11
@article{443ca6cb-5eb6-4607-bc3d-fa5c08e15002,
  abstract     = {This paper proposes a simple procedure to reduce the size distortions of the panel LM test for cointegration. The new procedure is based on first splitting the sample into even and odd numbered observations, and to employ the panel LM test to each subsample. The two tests are then combined using the Bonferroni principle as suggested by Choi [Choi, I., 2004, Improving the empirical size of the KPSS Test of stationarity, unpublished manuscript, Department of Economics, Hong Kong University of Science and Technology]. The Monte Carlo evidence suggests that this procedure can lead to substantial reduction in size distortions when the equilibrium errors are autoregressive. (c) 2005 Elsevier B.V. All rights reserved.},
  author       = {Westerlund, Joakim},
  issn         = {0165-1765},
  language     = {eng},
  number       = {3},
  pages        = {384--389},
  publisher    = {Elsevier},
  series       = {Economics Letters},
  title        = {Reducing the size distortions of the panel LM Test for cointegration},
  url          = {http://dx.doi.org/10.1016/j.econlet.2005.09.002},
  doi          = {10.1016/j.econlet.2005.09.002},
  volume       = {90},
  year         = {2006},
}