A Monte Carlo Comparison of Tests for Cointegration in Panel Data

Suzanne McCoskey and Chihwa Kao

Econometrics from University Library of Munich, Germany

Abstract: This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed for cointegration 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 five tests being simulated. In all cases, results on empirical size and size-adjusted power are given.

Keywords: Panel; Cointegration (search for similar items in EconPapers)
JEL-codes: C22 C23 (search for similar items in EconPapers)
Pages: 44 pages
Date: 1997-12-20
Note: Type of Document - Tex; prepared on IBM PC ; to print on HP/PostScript; pages: 44
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Citations: View citations in EconPapers (13)

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Related works:
Working Paper: A Monte Carlo Comparison of Tests for Cointegration in Panel Data (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:9712002

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