A meta analytic approach to testing for panel cointegration

Christoph Hanck

No 2007,02, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We propose new tests for panel cointegration by extending the panel unit root of Choi [2001] and Maddala and Wu [1999] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widely used panel cointegration tests.

Keywords: panel cointegration tests; Monte Carlo study; meta analysis (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (5)

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