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