Mixed Signals Among Tests for Panel Cointegration
In this paper, we study the effect that different serial correlation adjustment methods can have on panel cointegration testing. As an example, we consider the very popular tests developed by Pedroni (1999, 2004). Results based on both simulated and real data suggest that different adjustment methods can lead to significant variations in test outcome, and thus also in the conclusions.
|Date of creation:||16 May 2007|
|Date of revision:|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gutierrez, Luciano, 2003. "On the power of panel cointegration tests: a Monte Carlo comparison," Economics Letters, Elsevier, vol. 80(1), pages 105-111, July.
- Nasri Harb, 2004.
"Money demand function: a heterogeneous panel application,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 11(9), pages 551-555.
- Nasri Harb, 2003. "Money Demand Function: A heterogeneous Panel Application," Economics Working Papers 03/04-01, Department of Economics, College of Business and Economics, UAE University.
- Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, 2004.
"Some cautions on the use of panel methods for integrated series of macroeconomic data,"
Royal Economic Society, vol. 7(2), pages 322-340, December.
- Banerjee, A. & Marcellino, M. & Osbat, C., 2000. "Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data," Economics Working Papers eco2000/20, European University Institute.
- Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, . "Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data," Working Papers 170, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- Mariam Camarero & Cecilio Tamarit, 2001. "A panel cointegration approach to the estimation of the peseta real exchange rate," Working Papers 01-08, Asociación Española de Economía y Finanzas Internacionales.
- Mariam Camarero & Cecilio Tamarit, . "A panel cointegration approach to the estimation of the peseta real exchange rate," Working Papers on International Economics and Finance 01-08, FEDEA.
- Pedroni, Peter, 2004.
"Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis,"
Cambridge University Press, vol. 20(03), pages 597-625, June.
- Peter Pedroni, 2004. "Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Department of Economics Working Papers 2004-15, Department of Economics, Williams College.
- Larsson, Rolf & Lyhagen, Johan & Löthgren, Mickael, 1998.
"Likelihood-Based Cointegration Tests in Heterogeneous Panels,"
SSE/EFI Working Paper Series in Economics and Finance
250, Stockholm School of Economics, revised 27 Aug 1998.
- Rolf Larsson & Johan Lyhagen & Mickael Lothgren, 2001. "Likelihood-based cointegration tests in heterogeneous panels," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 41.
- Peter Pedroni, 1999.
"Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors,"
Department of Economics Working Papers
2000-02, Department of Economics, Williams College.
- Pedroni, Peter, 1999. " Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 653-70, Special I.
- Sarantis, Nicholas & Stewart, Chris, 2001. "Saving Behaviour in OECD Countries: Evidence from Panel Cointegration Tests," Manchester School, University of Manchester, vol. 69(0), pages 22-41, Supplemen.
- Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, vol. 90(1), pages 1-44, May.
- Edmond, Chris, 2001. "Some Panel Cointegration Models of International R&D Spillovers," Journal of Macroeconomics, Elsevier, vol. 23(2), pages 241-260, April.
- Joakim Westerlund, 2005.
"New Simple Tests for Panel Cointegration,"
Taylor & Francis Journals, vol. 24(3), pages 297-316.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Dimitris Christopoulos & John Loizides & Efthymios Tsionas, 2005. "The Abrams curve of government size and unemployment: evidence from panel data," Applied Economics, Taylor & Francis Journals, vol. 37(10), pages 1193-1199.
- Bahmani-Oskooee, Mohsen & Miteza, Ilir & Nasir, A. B. M., 2002. "The long-run relation between black market and official exchange rates: evidence from panel cointegration," Economics Letters, Elsevier, vol. 76(3), pages 397-404, August.
- Lee, Chien-Chiang, 2005. "Energy consumption and GDP in developing countries: A cointegrated panel analysis," Energy Economics, Elsevier, vol. 27(3), pages 415-427, May.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Jenkins, Michael A. & Snaith, Sean M., 2005. "Tests of Purchasing Power Parity via cointegration analysis of heterogeneous panels with consumer price indices," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 345-362, June.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:3261. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.