Do Panel Cointegration Tests Produce "Mixed Signals"?

Christoph Hanck

Annals of Economics and Statistics, 2012, issue 107-108, 299-310

Abstract: It was recently shown that time series cointegration tests, even in the presence of large sample sizes, often yield conicting conclusions (\mixed signals") as measured by, inter alia, a low correlation of empirical p-values. We present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than between tests of the same group.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2012:i:107-108:p:299-310

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