Authors: Hanck, Christoph
Title: Mixed signals among panel cointegration tests
Language (ISO): en
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.
Subject Headings: Mixed signals
Monte carlo comparison
Panel cointegration tests
URI: http://hdl.handle.net/2003/23126
http://dx.doi.org/10.17877/DE290R-14299
Issue Date: 2006-12-15T11:12:36Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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