Panel Cointegration Tests: A Survey

Laura Barbieri

Rivista Internazionale di Scienze Sociali, 2008, vol. 116, issue 1, 3-36

Abstract: Over the last decade much research has been carried out on the topic of econometric non-stationary panel data, especially because of the availability of new datasets (e.g. the Penn World Tables) in which the time-series dimension and the cross-section dimension are of the same order of magnitude. This paper presents a review of the most recent cointegration tests in a panel framework. This kind of test has been developed to extend the unit root approach to a multivariate context. Panel cointegration tests in literature are twofold, on the one hand there are those which verify the null hypothesis of no cointegration, on the other hand there are those which verify the null hypothesis of cointegration. This paper covers both sides of the subject providing insights on the applicability of these tests.

Keywords: http://riss.vitaepensiero.it/scheda-articolo_digital/laura-barbieri/panel-cointegration-tests-a-survey-000518_2008_0001_0002-150897.html (search for similar items in EconPapers)
JEL-codes: C21 C22 C23 (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (10)

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