Cross-sectional correlation robust tests for panel cointegration
نویسندگان
چکیده
منابع مشابه
Cross-Sectional Correlation Robust Tests for Panel Cointegration
We use meta analytic combination procedures to develop new tests for panel cointegration. The main idea consists in combining p-values from time series cointegration tests on the different units of the panel. The tests are robust to heterogeneity as well as to cross-sectional dependence between the different units of the panel. To achieve the latter, we employ a sieve bootstrap procedure with j...
متن کاملPanel Stationarity Tests with Cross-sectional Dependence
We present a test of the null hypothesis of stationarity against unit root alternatives for panel data that allows for arbitrary cross-sectional dependence. We treat the short run time series dynamics non-parametrically and thus avoid the need to fit separate models for the individual series. The statistic is simple to compute and is asymptotically normally distributed, even in the presence of ...
متن کاملMixed Signals Among Panel Cointegration Tests
Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (“mixed signals”) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied Econometrics]. Using their methodology, we present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests....
متن کاملPanel Unit Root Tests Under Cross Sectional Dependence
In this paper alternative approaches for testing the unit root hypothesis in panel data are considered. First, a robust version of the Dickey-Fuller t-statistic under contemporaneous correlated errors is suggested. Second, the GLS t-statistic is considered, which is based on the t-statistic of the transformed model. The asymptotic power of both tests against a sequence of local alternatives is ...
متن کاملDoes Labour Productivity Flow Across Industries?: Estimation Robust to Panel Heterogeneity and Cross Sectional Correlation
We consider labour productivity convergence between the US and the UK and France, using industry level data. We find evidence of panel heterogeneity, cross sectional correlation and weak evidence of productivity convergence at the industry level.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Applied Statistics
سال: 2009
ISSN: 0266-4763,1360-0532
DOI: 10.1080/02664760802510042