Mixed Signals Among Tests for Panel Cointegration

Joakim Westerlund and Syed A. Basher

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we study the effect that different serial correlation adjustment methods can have on panel cointegration testing. As an example, we consider the very popular tests developed by Pedroni (1999, 2004). Results based on both simulated and real data suggest that different adjustment methods can lead to significant variations in test outcome, and thus also in the conclusions.

Keywords: Panel Data; Cointegration Testing; Parametric and Semiparametric Methods (search for similar items in EconPapers)
JEL-codes: C14 C15 C32 C33 (search for similar items in EconPapers)
Date: 2007-05-16
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (1)

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Journal Article: Mixed signals among tests for panel cointegration (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:3261

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