Do Panel Cointegration Tests Produce "Mixed Signals"?
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.
Volume (Year): (2012)
Issue (Month): 107-108 ()
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