Mixed signals among tests for panel cointegration
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: Economic Modelling
سال: 2008
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2007.05.003