Meta-analytic cointegrating rank tests for dependent panels
Deniz Karaman Örsal () and
Antonia Arsova ()
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Antonia Arsova: Leuphana University Lueneburg, Germany
No 349, Working Paper Series in Economics from University of Lüneburg, Institute of Economics
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
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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