A Monte Carlo Comparison of Tests for Cointegration in Panel Data

Suzanne McCoskey and Chihwa Kao ()

No 3, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed forcointegration in panel data. In particular, tests for two panel models, varying intercepts and varying slopes, and varying intercepts and common slopes are presented from the literature with a total of seven tests being simulated. In all cases, results on empirical size and size-adjusted power are given.

JEL-codes: C22 C23 (search for similar items in EconPapers)
Date: 1999-03
View list of references

Downloads: (external link)
http://www-cpr.maxwell.syr.edu/cprwps/pdf/wp3.pdf (application/pdf)

Related works:
Working Paper: A Monte Carlo Comparison of Tests for Cointegration in Panel Data (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this paper

More papers in Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University
Address: 426 Eggers Hall, Syracuse, New York USA 13244-1020
Contact information at EDIRC.
Series data maintained by Martha W. Bonney ().