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Do Panel Cointegration Tests Produce "Mixed Signals"?

Listed author(s):
  • Christoph Hanck
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    It was recently shown that time series cointegration tests, even in the presence of large sample sizes, often yield conicting conclusions (\mixed signals") as measured by, inter alia, a low correlation of empirical p-values. We present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than between tests of the same group.

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    File URL: http://www.jstor.org/stable/23646581
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    Article provided by GENES in its journal Annals Of Economics and Statistics.

    Volume (Year): (2012)
    Issue (Month): 107-108 ()
    Pages: 299-310

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    Handle: RePEc:adr:anecst:y:2012:i:107-108:p:299-310
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