Mixed Signals Among Panel Cointegration Tests

Christoph Hanck

No 2006,45, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (?mixed signals?) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied Econometrics]. Using their methodology, we present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than between tests of the same group.

Keywords: Panel cointegration tests; Monte Carlo comparison (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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