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New simple tests for panel cointegration

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Author

Summary, in English

In this paper, two new simple residual-based panel data tests are proposed for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, and individual specific slope parameters. The limiting distributions of the tests are derived and are shown to be free of nuisance parameters. The Monte Carlo results in this paper suggest that the asymptotic results are borne out well even in very small samples.

Publishing year

2005

Language

English

Pages

297-316

Publication/Series

Econometric Reviews

Volume

24

Issue

3

Document type

Journal article

Publisher

Taylor & Francis

Topic

  • Economics

Keywords

  • Monte Carlo simulation
  • panel cointegration
  • residual-based tests

Status

Published

ISBN/ISSN/Other

  • ISSN: 0747-4938