Panel Cointegration

In Choi

No 1208, Working Papers from Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy)

Abstract: This paper surveys the literature on panel cointegration. It starts by discussing cointegrating panel regressions for both cross-sectionally independent and correlated panels. It then introduces three groups of tests for panel coin-tegration: residual-based tests for the null of noncointegration, residual-based tests for the null of cointegration, and tests based on vector autoregression.

Pages: 42 pages
Date: 2012
New Economics Papers: this item is included in nep-ecm and nep-ets
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