A Meta Analytic Approach to Testing for Panel Cointegration
نویسنده
چکیده
We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widely used panel cointegration tests.
منابع مشابه
www.econstor.eu A Meta Analytic Approach to Testing for Panel Cointegration
We propose new tests for panel cointegration by extending the panel unit root tests of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widel...
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ورودعنوان ژورنال:
- Communications in Statistics - Simulation and Computation
دوره 38 شماره
صفحات -
تاریخ انتشار 2009