Novel panel cointegration tests emending for cross‐section dependence with N fixed

Kaddour Hadri (), Eiji Kurozumi and Yao Rao ()

Econometrics Journal, 2015, vol. 18, issue 3, 363-411

Abstract: In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic distributions of the tests, which are derived with N fixed and T → ∞ , are shown to be standard normals. The effects of serial correlation and cross‐sectional dependence are mopped out via long‐run variances. An effective bias correction is derived, which is shown to work well in finite samples, particularly when N is smaller than T. Our panel tests are robust to possible cointegration across units.

Date: 2015
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http://hdl.handle.net/10.1111/ectj.12054

Related works:
Working Paper: Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed (2014)
Working Paper: Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed (2013)
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