Mixed signals among panel cointegration tests
| dc.contributor.author | Hanck, Christoph | |
| dc.date.accessioned | 2006-12-15T11:12:36Z | |
| dc.date.available | 2006-12-15T11:12:36Z | |
| dc.date.issued | 2006-12-15T11:12:36Z | |
| dc.description.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. | en |
| dc.format.extent | 287093 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | http://hdl.handle.net/2003/23126 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-14299 | |
| dc.language.iso | en | |
| dc.subject | Mixed signals | en |
| dc.subject | Monte carlo comparison | en |
| dc.subject | Panel cointegration tests | en |
| dc.subject.ddc | 004 | |
| dc.title | Mixed signals among panel cointegration tests | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |