Panel Cointegration Tests: A Survey
Over the last decade much research has been carried out on the topic of econometric non-stationary panel data, especially because of the availability of new datasets (e.g. the Penn World Tables) in which the time-series dimension and the cross-section dimension are of the same order of magnitude. This paper presents a review of the most recent cointegration tests in a panel framework. This kind of test has been developed to extend the unit root approach to a multivariate context. Panel cointegration tests in literature are twofold, on the one hand there are those which verify the null hypothesis of no cointegration, on the other hand there are those which verify the null hypothesis of cointegration. This paper covers both sides of the subject providing insights on the applicability of these tests.
Volume (Year): 116 (2008)
Issue (Month): 1 ()
|Contact details of provider:|| |
When requesting a correction, please mention this item's handle: RePEc:vep:journl:y:2008:v:116:i:1:p:3-36. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Vep - Vita e Pensiero)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.