Resource title

A meta analytic approach to testing for panel cointegration

Resource image

image for OpenScout resource :: A meta analytic approach to testing for panel cointegration

Resource description

We propose new tests for panel cointegration by extending the panel unit root of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widely used panel cointegration tests.

Resource author

Christoph Hanck

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/24989

Resource license

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