Mixed Signals Among Tests for Panel Cointegration

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Mixed Signals Among Tests for Panel Cointegration

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Westerlund, Joakim
Basher, Syed A.

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Syed A. Basher

Abstract

In this paper, we study the effect that different serial correlation adjustment methods can have on panel cointegration testing. As an example, we consider the very popular tests developed by Pedroni (1999, 2004). Results based on both simulated and real data suggest that different adjustment methods can lead to significant variations in test outcome, and thus also in the conclusions.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3261.

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Date of creation: 16 May 2007
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Handle: RePEc:pra:mprapa:3261

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Article
- Westerlund, Joakim & Basher, Syed A., 2008. "Mixed signals among tests for panel cointegration," Economic Modelling, Elsevier, vol. 25(1), pages 128-136, January. [Downloadable!] (restricted)

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-05-19 (All new papers)
NEP-ECM-2007-05-19 (Econometrics)
NEP-ETS-2007-05-19 (Econometric Time Series)

References listed on IDEAS
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Other versions:
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Other versions:
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Other versions:
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Other versions:
- Camarero, Mariam & Tamarit, Cecilio, 2002. "A panel cointegration approach to the estimation of the peseta real exchange rate," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 371-393, September. [Downloadable!] (restricted)
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Other versions:
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