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Panel Cointegration

Author

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  • In Choi

    (Department of Economics, Sogang University, Seoul)

Abstract

This paper surveys the literature on panel cointegration. It starts by discussing cointegrating panel regressions for both cross-sectionally independent and correlated panels. It then introduces three groups of tests for panel coin-tegration: residual-based tests for the null of noncointegration, residual-based tests for the null of cointegration, and tests based on vector autoregression.

Suggested Citation

  • In Choi, 2012. "Panel Cointegration," Working Papers 1208, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    • Handle: RePEc:sgo:wpaper:1208
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    File URL: https://tinyurl.com/yruh79mh
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    References listed on IDEAS

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      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2013-10-09 04:21:00

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