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Une synthèse des tests de cointégration sur données de panel

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Author Info

  • Christophe Hurlin

    ()
    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

  • Valérie Mignon

    ()
    (CEPII - Centre d'études prospectives et d'informations internationales - Université de Paris X - Nanterre)

Abstract

L'objet de ce papier est de dresser un panorama complet de la littérature relative aux tests de cointégration sur données de panel. Après un exposé des concepts spécifiques à la cointégration en panel, sont ainsi présentés les tests de l'hypothèse nulle d'absence de cointégration (tests de Pedroni (1995, 1997, 1999, 2003), Kao (1999), Bai et Ng (2001) et Groen et Kleibergen (2003)) ainsi que le test de McCoskey et Kao (1998) reposant sur l'hypothèse nulle de cointégration. Quelques éléments relatifs à l'inférence et l'estimation de systèmes cointégrés sont également fournis.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number halshs-00070887.

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Date of creation: 22 May 2006
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Handle: RePEc:hal:wpaper:halshs-00070887

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00070887/en/
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Related research

Keywords: Données de panel non stationnaires ; racine unitaire ; cointégration;

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Cited by:
  1. Issiaka Coulibaly & Blaise Gnimassoun, 2012. "Optimality of a monetary union : New evidence from exchange rate misalignments in West Africa," EconomiX Working Papers 2012-37, University of Paris West - Nanterre la Défense, EconomiX.
  2. Jean Fouré & Agnès Bénassy-Quéré & Lionel Fontagné, 2014. "The Great Shift : Macroeconomic projections For the World Economy at the 2050 Horizon," Working Papers hal-00962464, HAL.
  3. Issiaka Coulibaly & Blaise Gnimassoun, 2013. "Current account sustainability in Sub-Saharan Africa: Does the exchange rate regime matter?," EconomiX Working Papers 2013-42, University of Paris West - Nanterre la Défense, EconomiX.
  4. Carl Grekou, 2014. "Revisiting the nexus between currency misalignments and growth in the CFA Zone," EconomiX Working Papers 2014-4, University of Paris West - Nanterre la Défense, EconomiX.
  5. Okey, Mawussé Komlagan Nézan, 2009. "Consommation d’énergies et croissance du PIB dans les pays de l’UEMOA : Une analyse en données de panel
    [Energy consumption and GDP growth in WAEMU countries : A panel data analysis]
    ," MPRA Paper 15521, University Library of Munich, Germany, revised 02 Jun 2009.
  6. Philippe Egoumé-Bossogo & Ankouvi Nayo, 2011. "Feeling the Elephant’s Weight," IMF Working Papers 11/80, International Monetary Fund.
  7. Blaise Gnimassoun, 2012. "Taux de change et mésalignements du franc CFA avant et après l’introduction de l’euro," EconomiX Working Papers 2012-3, University of Paris West - Nanterre la Défense, EconomiX.

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