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Finite Sample Correction Factors for Panel Cointegration Tests

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  • Jaroslava Hlouskova
  • Martin Wagner

Abstract

In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001) and Breitung (2005). For the single equation tests, we consider up to 12 regressors and for the system tests vector autoregression dimensions up to 12 variables. All commonly used specifications for the deterministic components are considered. The sample sizes considered are T ∈ {10,20,30,40,50,60,70,80,90,100,200,500}.

Suggested Citation

  • Jaroslava Hlouskova & Martin Wagner, 2009. "Finite Sample Correction Factors for Panel Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 851-881, December.
    • Handle: RePEc:bla:obuest:v:71:y:2009:i:6:p:851-881
    DOI: 10.1111/j.1468-0084.2009.00559.x
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    Cited by:

    1. Pedroni, Peter L. & Vogelsang, Timothy J. & Wagner, Martin & Westerlund, Joakim, 2015. "Nonparametric rank tests for non-stationary panels," Journal of Econometrics, Elsevier, vol. 185(2), pages 378-391.
    2. Jaroslava Hlouskova & Martin Wagner, 2009. "Finite Sample Correction Factors for Panel Cointegration Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 851-881, December.

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    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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