Finite Sample Correction Factors for Panel Cointegration Tests

Jaroslava Hlouskova and Martin Wagner
Additional contact information
Jaroslava Hlouskova: Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria

No 244, Economics Series from Institute for Advanced Studies

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 time dimension sample sizes are 10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500.

Keywords: Panel cointegration test; correction factor; response surface; simulation (search for similar items in EconPapers)
JEL-codes: C12 C15 C23 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-pke
Date: 2009-09

Downloads: (external link)
http://www.ihs.ac.at/publications/eco/es-244.pdf First version, 2009 (application/pdf)

Related works:
Journal Article: 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:ihs:ihsesp:244

Ordering information: This working paper can be ordered from
Institute for Advanced Studies - Library, Stumpergasse 56, A-1060 Vienna, Austria

Access Statistics for this paper

More papers in Economics Series from Institute for Advanced Studies
Address: Stumpergasse 56, A-1060 Vienna, Austria
Contact information at EDIRC.
Series data maintained by Wolfgang Nessler ().