The browser you are using is not supported by this website. All versions of Internet Explorer are no longer supported, either by us or Microsoft (read more here: https://www.microsoft.com/en-us/microsoft-365/windows/end-of-ie-support).

Please use a modern browser to fully experience our website, such as the newest versions of Edge, Chrome, Firefox or Safari etc.

Reducing the size distortions of the panel LM Test for cointegration

På svenska

Author

Summary, in English

This paper proposes a simple procedure to reduce the size distortions of the panel LM test for cointegration. The new procedure is based on first splitting the sample into even and odd numbered observations, and to employ the panel LM test to each subsample. The two tests are then combined using the Bonferroni principle as suggested by Choi [Choi, I., 2004, Improving the empirical size of the KPSS Test of stationarity, unpublished manuscript, Department of Economics, Hong Kong University of Science and Technology]. The Monte Carlo evidence suggests that this procedure can lead to substantial reduction in size distortions when the equilibrium errors are autoregressive. (c) 2005 Elsevier B.V. All rights reserved.

Publishing year

2006

Language

English

Pages

384-389

Publication/Series

Economics Letters

Volume

90

Issue

3

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • bonferroni inequality
  • panel cointegration
  • size distortion

Status

Published

ISBN/ISSN/Other

  • ISSN: 0165-1765