Mixed signals among panel cointegration tests
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Date
2006-12-15T11:12:36Z
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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.
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Keywords
Mixed signals, Monte carlo comparison, Panel cointegration tests