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Une synthèse des tests de cointégration sur données de panel

Listed author(s):
  • Christophe Hurlin

    ()

    (LEO - Laboratoire d'économie d'Orleans - CNRS - UO - Université d'Orléans)

  • Valérie Mignon

    ()

    (CEPII - Centre d'études prospectives et d'informations internationales - UP10 - Université Paris 10, Paris Ouest Nanterre La Défense)

The purpose of this paper is to provide a complete overview of panel data cointegration tests. We present the main tests based on the null hypothesis of no cointegration (test of Pedroni (1995, 1997, 1999, 2003), Kao (1999), Bai et Ng (2001) and Groen et Kleibergen (2003)) and the McCoskey et Kao (1998) test based on the null hypothesis of cointegration. Some developments relating to inference and estimation of cointegrated systems are also provided.

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Paper provided by HAL in its series Working Papers with number halshs-00070887.

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Date of creation: 22 May 2006
Handle: RePEc:hal:wpaper:halshs-00070887
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