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Comparison of Panel Cointegration Tests

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  • Deniz Dilan Karaman Örsal

    (Humboldt University Berlin)

Abstract

The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric group-t statistics of Pedroni(1999} and the standardized LR-bar statistic of Larsson et al.(2001} are considered. The simulation results indicate that the panel-t and the standardized LR-bar statistic have the best size and power properties among the five panel cointegration test statistics evaluated.

Suggested Citation

  • Deniz Dilan Karaman Örsal, 2008. "Comparison of Panel Cointegration Tests," Economics Bulletin, AccessEcon, vol. 3(6), pages 1-20.
    • Handle: RePEc:ebl:ecbull:eb-07c10009
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    Keywords

    Fisher Hypothesis;

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    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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