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 |
Files in This Item:
File | Description | Size | Format | |
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tr45-06.pdf | DNB | 280.36 kB | Adobe PDF | View/Open |
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