Error Correction Testing in Panels with Common Stochastic Trends
(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:
https://lup.lub.lu.se/record/5257200
- author
- Gengenbach, Christian ; Urbain, Jean Pierre and Westerlund, Joakim LU
- organization
- publishing date
- 2016-10
- 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 Inc.
- 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
- 2016-04-01 10:49:25
- date last changed
- 2022-04-28 01:45:29
@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 & Sons, Ltd.</p>}}, author = {{Gengenbach, Christian and Urbain, Jean Pierre and Westerlund, Joakim}}, issn = {{0883-7252}}, keywords = {{Panel cointegration; error correction; common factors}}, language = {{eng}}, number = {{6}}, pages = {{982--1004}}, publisher = {{John Wiley & Sons Inc.}}, series = {{Journal of Applied Econometrics}}, title = {{Error Correction Testing in Panels with Common Stochastic Trends}}, url = {{http://dx.doi.org/10.1002/jae.2475}}, doi = {{10.1002/jae.2475}}, volume = {{31}}, year = {{2016}}, }