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Adapting a nonparametric pooling test for use in panel cointegration models

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  • Ashok Mishra
  • Charles Moss

Abstract

Baltagi and Kao (2000) chronicle the emergence of panel applications of the cointegration approach. This study builds on this literature by proposing a reformulation of the pooling statistic proposed by Baltagi et al. (1996) that can be used to test for the appropriateness of this panel specification.

Suggested Citation

  • Ashok Mishra & Charles Moss, 2006. "Adapting a nonparametric pooling test for use in panel cointegration models," Applied Economics Letters, Taylor & Francis Journals, vol. 13(6), pages 355-357.
    • Handle: RePEc:taf:apeclt:v:13:y:2006:i:6:p:355-357
    DOI: 10.1080/13504850500394327
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    References listed on IDEAS

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    1. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    2. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University.
    3. Baltagi, Badi H. & Hidalgo, Javier & Li, Qi, 1996. "A nonparametric test for poolability using panel data," Journal of Econometrics, Elsevier, vol. 75(2), pages 345-367, December.
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