Finite Sample Correction Factors for Panel Cointegration Tests

Jaroslava Hlouskova and Martin Wagner

No 244, Economics Series from Institute for Advanced Studies

Abstract: In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up to 12 regressors and for the system tests vector autoregression dimensions up to 12 variables. All commonly used specifications for the deterministic components are considered. The time dimension sample sizes are 10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500.

Keywords: Panel cointegration test; correction factor; response surface; simulation (search for similar items in EconPapers)
JEL-codes: C12 C15 C23 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2009-09
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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https://irihs.ihs.ac.at/id/eprint/1945 First version, 2009 (application/pdf)

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Journal Article: Finite Sample Correction Factors for Panel Cointegration Tests* (2009)
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