Finite Sample Correction Factors for Panel Cointegration Tests
نویسندگان
چکیده
منابع مشابه
Mixed 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....
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ژورنال
عنوان ژورنال: Oxford Bulletin of Economics and Statistics
سال: 2009
ISSN: 0305-9049,1468-0084
DOI: 10.1111/j.1468-0084.2009.00559.x