Simple Tests for Cointegration in Dependent Panels with Structural Breaks
Author
Summary, in English
This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and slope of the cointegrated regression, which may be located at different dates for different units. The limiting distribution of the test is derived, and is found to be normal and free of nuisance parameters under the null. Asmall simulation study is also conducted to investigate the small-sample properties of the test. In our empirical application, we provide new evidence concerning the purchasing power parity hypothesis.
Department/s
Publishing year
2008
Language
English
Pages
665-704
Publication/Series
Oxford Bulletin of Economics and Statistics
Volume
70
Issue
5
Document type
Journal article
Publisher
Wiley-Blackwell
Topic
- Economics
Status
Published
ISBN/ISSN/Other
- ISSN: 1468-0084