A meta analytic approach to testing for panel cointegration

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Date

2007-02-21T14:37:10Z

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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.

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Keywords

Meta analysis, Monte Carlo study, Panel cointegration tests

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