Meta-analytic cointegrating rank tests for dependent panels

Deniz Karaman Örsal and Antonia Arsova (antonia.arsova@leuphana.de)
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Antonia Arsova: Leuphana University Lueneburg, Germany

No 349, Working Paper Series in Economics from University of Lüneburg, Institute of Economics

Abstract: This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples.

Keywords: Panel cointegration; p-value; common factors; rank test; crosssectional dependence (search for similar items in EconPapers)
JEL-codes: C12 C15 C33 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2015-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Meta-analytic cointegrating rank tests for dependent panels (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:lue:wpaper:349

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