Some cautions on the use of panel methods for integrated series of macroeconomic data
AbstractExisting panel cointegration tests rule out cross-unit cointegrating relationships, while economic theory and empirical observation argue strongly in favour of their presence. Using an extensive set of simulation experiments, we show that both univariate and multivariate panel cointegration tests can be substantially oversized in the presence of cross-unit cointegration. We also propose a test for cross-unit cointegration that performs well in practice and can be used to decide upon the usefulness of panel methods. Copyright Royal Economic Socciety 2004
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Econometrics Journal.
Volume (Year): 7 (2004)
Issue (Month): 2 (December)
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Other versions of this item:
- Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, . "Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data," Working Papers 170, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Banerjee, A. & Marcellino, M. & Osbat, C., 2000. "Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data," Economics Working Papers eco2000/20, European University Institute.
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
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