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Testing for error correction in panel data

Westerlund, Joakim LU (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:
author
organization
publishing date
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
2008-01-30 15:47:14
date last changed
2017-11-12 03:19:39
@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},
  volume       = {69},
  year         = {2007},
}