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Une synthèse des tests de cointégration sur données de panel

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  • Christophe Hurlin

    () (LEO - Laboratoire d'économie d'Orleans - UO - Université d'Orléans - CNRS - Centre National de la Recherche Scientifique)

  • Valérie Mignon

    () (CEPII - Centre d'études prospectives et d'informations internationales)

Abstract

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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  • Christophe Hurlin & Valérie Mignon, 2006. "Une synthèse des tests de cointégration sur données de panel," Working Papers halshs-00070887, HAL.
  • Handle: RePEc:hal:wpaper:halshs-00070887 Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00070887
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