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.
Department/s
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