Testing for error correction in panel data
(2007) In Oxford Bulletin of Economics and Statistics 69(6). p.709-748- Abstract
- This paper proposes new error correction-based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values provided. Our simulation results suggest that the tests have good small-sample properties with small size distortions and high power relative to other popular residual-based panel cointegration tests. In our empirical application, we present evidence suggesting that international healthcare expenditures and GDP are cointegrated once the possibility of an invalid common factor restriction has been accounted for.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/969000
- author
- Westerlund, Joakim LU
- organization
- publishing date
- 2007
- type
- Contribution to journal
- publication status
- published
- subject
- in
- Oxford Bulletin of Economics and Statistics
- volume
- 69
- issue
- 6
- pages
- 709 - 748
- publisher
- Wiley-Blackwell
- external identifiers
-
- wos:000251049800001
- scopus:34547537390
- ISSN
- 1468-0084
- DOI
- 10.1111/j.1468-0084.2007.00477.x
- language
- English
- LU publication?
- yes
- id
- 699f8531-1510-4c1d-a3cc-09b5da2b9f44 (old id 969000)
- date added to LUP
- 2016-04-01 11:41:53
- date last changed
- 2022-04-28 18:17:09
@article{699f8531-1510-4c1d-a3cc-09b5da2b9f44, abstract = {{This paper proposes new error correction-based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values provided. Our simulation results suggest that the tests have good small-sample properties with small size distortions and high power relative to other popular residual-based panel cointegration tests. In our empirical application, we present evidence suggesting that international healthcare expenditures and GDP are cointegrated once the possibility of an invalid common factor restriction has been accounted for.}}, author = {{Westerlund, Joakim}}, issn = {{1468-0084}}, language = {{eng}}, number = {{6}}, pages = {{709--748}}, publisher = {{Wiley-Blackwell}}, series = {{Oxford Bulletin of Economics and Statistics}}, title = {{Testing for error correction in panel data}}, url = {{http://dx.doi.org/10.1111/j.1468-0084.2007.00477.x}}, doi = {{10.1111/j.1468-0084.2007.00477.x}}, volume = {{69}}, year = {{2007}}, }