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New Simple Tests for Panel Cointegration

Joakim Westerlund

No 2005:8, Working Papers from Lund University, Department of Economics

Abstract: We propose two new simple residual-based panel data tests for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, as well as individual specific slope parameters. A third test that is modified to accommodate for cross-sectionally dependent data is also proposed. We derive the limiting distributions of the tests and show that they are free of nuisance parameters. Our Monte Carlo results suggest that the asymptotic results are borne out well even in very small samples.

Keywords: Panel Cointegration; Residual-Based Tests; Cross-Sectional Dependence; Monte Carlo Simulation. (search for similar items in EconPapers)
JEL-codes: C12 C31 C33 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2005-01-26
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (269)

Published in Econometric Reviews, 2005, pages 297-316.

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