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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)

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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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Paper provided by HAL in its series Working Papers with number halshs-00070887_v1.

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Date of creation: 22 May 2006
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Handle: RePEc:hal:wpaper:halshs-00070887_v1

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

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  1. 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. [Downloadable!]
  2. Marion Leturcq, 2009. "Would you civil union me? Civil unions and taxes in France: Did the reform of income taxation raise the rate of civil unions?," PSE Working Papers 2009-17, PSE (Ecole normale supérieure). [Downloadable!]
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