Fractional frequency flexible Fourier form (FFFFF) for panel cointegration test

Olaolu Olayeni, Aviral Tiwari and Mark Wohar

Applied Economics Letters, 2021, vol. 28, issue 6, 482-486

Abstract: In this article, we introduce a new panel cointegration test that is robust to nonlinearity, structural breaks and cross-sectional dependency. In an empirical illustration, we tested the Feldstein–Horioka paradox for 15 Asian countries, one of the most debated topics in international macroeconomics. We find that Indonesia, Philippine, Bangladesh, Japan, Thailand and China are not among the countries generating cointegration in the cross section.

Date: 2021
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DOI: 10.1080/13504851.2020.1761526

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