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Comparison of Panel Cointegration Tests

Deniz Karaman Örsal ()

Economics Bulletin, 2008, vol. 3, issue 6, 1-20

Abstract: The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric group-t statistics of Pedroni(1999} and the standardized LR-bar statistic of Larsson et al.(2001} are considered. The simulation results indicate that the panel-t and the standardized LR-bar statistic have the best size and power properties among the five panel cointegration test statistics evaluated.

Keywords: Fisher; Hypothesis (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2008-01-27
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