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Une synthèse des tests de cointégration sur données de panel

  • Christophe Hurlin

    ()

    (LEO - Laboratoire d'économie d'Orleans - CNRS : UMR6221 - Université d'Orléans)

  • Valérie Mignon

    ()

    (CEPII - Centre d'études prospectives et d'informations internationales - Université de Paris X - Nanterre)

L'objet de ce papier est de dresser un panorama complet de la littérature relative aux tests de cointégration sur données de panel. Après un exposé des concepts spécifiques à la cointégration en panel, sont ainsi présentés les tests de l'hypothèse nulle d'absence de cointégration (tests de Pedroni (1995, 1997, 1999, 2003), Kao (1999), Bai et Ng (2001) et Groen et Kleibergen (2003)) ainsi que le test de McCoskey et Kao (1998) reposant sur l'hypothèse nulle de cointégration. Quelques éléments relatifs à l'inférence et l'estimation de systèmes cointégrés sont également fournis.

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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
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Handle: RePEc:hal:wpaper:halshs-00070887
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