Hanck, Christoph2006-12-152006-12-152006-12-15http://hdl.handle.net/2003/2312610.17877/DE290R-14299Time 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.enMixed signalsMonte carlo comparisonPanel cointegration tests004report