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Meta-analytic cointegrating rank tests for dependent panels

Deniz Karaman Örsal () and Antonia Arsova

Econometrics and Statistics, 2017, vol. 2, issue C, 61-72

Abstract: Two new panel cointegrating rank tests which are robust to cross-sectional dependence are proposed. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a meta-analytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined into the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples. The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.

Keywords: Panel cointegration; p-value; Common factors; Rank test; Cross-sectional dependence (search for similar items in EconPapers)
JEL-codes: C12 C15 C33 (search for similar items in EconPapers)
Date: 2017
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Working Paper: Meta-analytic cointegrating rank tests for dependent panels (2015) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:2:y:2017:i:c:p:61-72

DOI: 10.1016/j.ecosta.2016.10.001

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