Une synthèse des tests de cointégration sur données de panel

Christophe Hurlin and Valérie Mignon ()

Working Papers from HAL

Abstract: The purpose of this paper is to provide a complete overview of panel data cointegration tests. We present the main tests based on the null hypothesis of no cointegration (test of Pedroni (1995, 1997, 1999, 2003), Kao (1999), Bai et Ng (2001) and Groen et Kleibergen (2003)) and the McCoskey et Kao (1998) test based on the null hypothesis of cointegration. Some developments relating to inference and estimation of cointegrated systems are also provided.

Keywords: Données de panel non stationnaires; racine unitaire; cointégration; Non-stationary panel data; unit root (search for similar items in EconPapers)
Date: 2006-05-22
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00070887
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: Une synthèse des tests de cointégration sur données de Panel (2007)
Journal Article: Une synthèse des tests de cointégration sur données de panel (2007)
Working Paper: Une Synthèse des Tests de Cointégration sur Données de Panel (2007)
Working Paper: Une synthèse des tests de co-intégration sur données de panel (2006)
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