|Title:||Mixed signals among panel cointegration tests|
|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
|Appears in Collections:||Sonderforschungsbereich (SFB) 475|
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