Authors: Hanck, Christoph
Title: A meta analytic approach to testing for panel cointegration
Language (ISO): en
Abstract: We propose new tests for panel cointegration by extending the panel unit root tests 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.
Subject Headings: Meta analysis
Monte Carlo study
Panel cointegration tests
Issue Date: 2007-02-21T14:37:10Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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