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 |
URI: | http://hdl.handle.net/2003/23294 http://dx.doi.org/10.17877/DE290R-8102 |
Issue Date: | 2007-02-21T14:37:10Z |
Appears in Collections: | Sonderforschungsbereich (SFB) 475 |
Files in This Item:
File | Description | Size | Format | |
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tr02-07.pdf | DNB | 235.89 kB | Adobe PDF | View/Open |
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