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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
; and
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 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 &amp; 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}},
}