Resource title

Mixed Signals Among Panel Cointegration Tests

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Resource description

Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (?mixed signals?) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied Econometrics]. Using their methodology, we present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than between tests of the same group.

Resource author

Christoph Hanck

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Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22689

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Adapt according to the presented license agreement and reference the original author.