Abstract
This paper makes the following contributions to the existing literature on panel cointegration. First, two new tests based on the principle of weighted symmetric estimation are proposed for panel cointegration testing. Second, the asymptotic distributions of these new tests are examined, and these are shown to be well defined Weiner processes that are free of nuisance parameters. Third, the size and power properties of the proposed tests are studied with a Monte Carlo simulation, and their properties are found to be superior to those of the existing tests across a range of environments.
| Original language | English |
|---|---|
| Article number | Paper ID: 168 |
| Pages (from-to) | 1-44 |
| Journal | Annual Conference of Economists (ACE10) Papers |
| Publication status | Published - 2010 |
| Event | ACE 2010: 39th Annual Australian Conference of Economists - Sydney, Australia Duration: 27 Sept 2010 → 29 Sept 2010 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 8 Decent Work and Economic Growth
Keywords
- Time-Series Analysis
- Panel Data Analysis
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