A Monte Carlo Comparison of Tests for Cointegration in Panel Data

Suzanne McCoskey and Chihwa Kao

No 3, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed forcointegration in panel data. In particular, tests for two panel models, varying intercepts and varying slopes, and varying intercepts and common slopes are presented from the literature with a total of seven tests being simulated. In all cases, results on empirical size and size-adjusted power are given.

JEL-codes: C22 C23 (search for similar items in EconPapers)
Pages: 45 pages
Date: 1999-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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https://surface.syr.edu/cpr/144/ (application/pdf)

Related works:
Working Paper: A Monte Carlo Comparison of Tests for Cointegration in Panel Data (1997)
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