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Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors

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Author Info
 Pedroni, Peter
Abstract

Asymptotic distributions and critical values are computed for several residual-based tests of the null of no cointegration in panels for the case of multiple regressors, including regressions with individual-specific fixed effects and time trends. The associated cointegrating vectors and the dynamics of the underlying error processes are permitted considerable heterogeneity across individual members of the panel. Copyright 1999 by Blackwell Publishing Ltd

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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 61 (1999)
Issue (Month): 0 (Special Issue Nov.)
Pages: 653-70
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Handle: RePEc:bla:obuest:v:61:y:1999:i:0:p:653-70

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