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Do Panel Cointegration Tests Produce "Mixed Signals"?

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  • Christoph Hanck

Abstract

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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  • Christoph Hanck, 2012. "Do Panel Cointegration Tests Produce "Mixed Signals"?," Annals of Economics and Statistics, GENES, issue 107-108, pages 299-310.
    • Handle: RePEc:adr:anecst:y:2012:i:107-108:p:299-310
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    File URL: http://www.jstor.org/stable/23646581
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    Cited by:

    1. Martin C. Arnold & Christoph Hanck, 2019. "On Combining Evidence from Heteroskedasticity Robust Panel Unit Root Tests in Pooled Regressions," JRFM, MDPI, vol. 12(3), pages 1-22, July.

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