Hidden panel cointegration

Hatemi-J Abdulnasser

MPRA Paper from University Library of Munich, Germany

Abstract: This article extends the seminal work of Granger and Yoo (2002) on hidden cointegration to panel data analysis. It shows how cumulative negative and positive changes can be constructed for each panel variable. It also shows how tests similar to the augmented Dickey-Fuller tests can be implemented to find out whether the cointegration is hidden in the panel or not. An application is provided to investigate the impact of permanent positive and negative shocks in the government expenditure on the national output in a panel of three countries.

Keywords: Asymmetry; Panel Data; Cointegration; Testing; Government Spending; Output (search for similar items in EconPapers)
JEL-codes: C33 H21 (search for similar items in EconPapers)
Date: 2011-06
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 (3)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:31604

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