Finite Sample Correction Factors for Panel Cointegration Tests

Jaroslava Hlouskova and Martin Wagner

Oxford Bulletin of Economics and Statistics, 2009, vol. 71, issue 6, pages 851-881

Abstract: In this paper we present finite "T" mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson "et al." (2001) and Breitung (2005). For the single equation tests, we consider up to 12 regressors and for the system tests vector autoregression dimensions up to 12 variables. All commonly used specifications for the deterministic components are considered. The sample sizes considered are "T"  is an element of  {10,20,30,40,50,60,70,80,90,100,200,500}. Copyright (c) Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2009.

Date: 2009

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1468-0084.2009.00559.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Finite Sample Correction Factors for Panel Cointegration Tests (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bla:obuest:v:71:y:2009:i:6:p:851-881

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, Gavin Cameron, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford
Series data maintained by Christopher F. Baum ().