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Testing for panel cointegration with a level break

Author

Summary, in English

This paper proposes four simple tests for the null hypothesis of no cointegration in the presence of a level break. The tests are general enough to allow for endogenous regressors, serial correlation and heterogeneous breaks of unknown timing. The limiting distributions of the tests are derived and critical values are provided. We also conduct a small Monte Carlo study to investigate their finite sample properties. (c) 2005 Elsevier B.V. All rights reserved.

Publishing year

2006

Language

English

Pages

27-33

Publication/Series

Economics Letters

Volume

91

Issue

1

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • panel cointegration tests
  • structural break

Status

Published

ISBN/ISSN/Other

  • ISSN: 0165-1765