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A Monte Carlo Comparison of Tests for Cointegration in Panel Data

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Abstract

This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed forcointegration in panel data. In particular, tests for two panel models, varying intercepts and varying slopes, and varying intercepts and common slopes are presented from the literature with a total of seven tests being simulated. In all cases, results on empirical size and size-adjusted power are given.

Suggested Citation

  • Suzanne McCoskey & Chihwa Kao, 1999. "A Monte Carlo Comparison of Tests for Cointegration in Panel Data," Center for Policy Research Working Papers 3, Center for Policy Research, Maxwell School, Syracuse University.
  • Handle: RePEc:max:cprwps:3
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    1. repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
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    Cited by:

    1. Vladimir Kuhl Teles & Renato Joiozo, 2011. "Human capital and innovation: evidence from panel cointegration tests," Applied Economics Letters, Taylor & Francis Journals, vol. 18(17), pages 1629-1632.
    2. Valérie Mignon & Christophe Hurlin, 2007. "Une synthèse des tests de cointégration sur données de panel," Économie et Prévision, Programme National Persée, pages 241-265.
    3. Cecilio R. Tamarit Escalona & Estrella Gómez, 2011. "The euro effect on trade: evidence in gravity equations using panel cointegration techniques," Working Papers. Serie EC 2011-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    4. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo Group Munich.
    5. Florian Pelgrin & Sebastian Schich, 2002. "Panel Cointegration Analysis of the Finance-Investment Link in OECD Countries," Documents de Travail de l'OFCE 2002-02, Observatoire Francais des Conjonctures Economiques (OFCE).
    6. Joakim Westerlund, 2006. "Testing for Panel Cointegration with Multiple Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, pages 101-132.
    7. Suzanne McCoskey & Chihwa Kao, 1999. "Testing the Stability of a Production Function with Urbanization as a Shift Factor: An Application of Non-Stationary Panel Data Techniques," Center for Policy Research Working Papers 5, Center for Policy Research, Maxwell School, Syracuse University.
    8. Mariam Camarero & Javier Ordóñez & Cecilio Tamarit, 2002. "The Euro-Dollar Exchange Rate: Is it Fundamental?," CESifo Working Paper Series 798, CESifo Group Munich.
    9. Camarero, Mariam & Tamarit, Cecilio, 2002. "Oil prices and Spanish competitiveness: A cointegrated panel analysis," Journal of Policy Modeling, Elsevier, vol. 24(6), pages 591-605, October.
    10. Camarero, Mariam & Tamarit, Cecilio, 2002. "A panel cointegration approach to the estimation of the peseta real exchange rate," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 371-393, September.
    11. Funk, Mark & Strauss, Jack, 2000. "The long-run relationship between productivity and capital," Economics Letters, Elsevier, vol. 69(2), pages 213-217, November.
    12. Mariam Camarero & Cecilio Tamarit, 2003. "Estimating exports and imports demand for Manufactured goods: The role of FDI," European Economy Group Working Papers 22, European Economy Group.
    13. Gerling, Katja, 2000. "Subsidization and Structural Change in Eastern German Transition: Did Economic Policy Meet Its Objectives?," Kiel Working Papers 998, Kiel Institute for the World Economy (IfW).

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models

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