Advanced Search
MyIDEAS: Login

Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis

Contents:

Author Info

Registered author(s):

    Abstract

    We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel. The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests. We derive limiting distributions for these and show that they are normal and free of nuisance parameters+ We also provide Monte Carlo evidence to demonstrate their small sample size and power performance, and we illustrate their use in testing purchasing power parity for the post–Bretton Woods period.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://web.williams.edu/Economics/wp/pedronipanelcointegration.pdf
    Download Restriction: no

    Bibliographic Info

    Paper provided by Department of Economics, Williams College in its series Department of Economics Working Papers with number 2004-15.

    as in new window
    Length: 39 pages
    Date of creation: 2004
    Date of revision:
    Publication status: published in Econometric Theory, 20, 597-325, 2004.
    Handle: RePEc:wil:wileco:2004-15

    Contact details of provider:
    Postal: Williamstown, MA 01267
    Phone: 413 597 2476
    Fax: 413 597 4045
    Email:
    Web page: http://econ.williams.edu
    More information through EDIRC

    Order Information:
    Email:

    Related research

    Keywords: Cointegration; PPP; Time Series;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

    Lists

    This item is featured on the following reading lists or Wikipedia pages:

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:wil:wileco:2004-15

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stephen Sheppard).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.