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Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors

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In this paper we describe a method for testing the null of no cointegration in dynamic panels with multiple regressors and compute approximate critical values for these tests. Methods for non-stationary panels, including panel unit root and panel cointegration tests, have been gaining increased acceptance in recent empirical research. To date, however, tests for the null of no cointegration in heterogeneous panels based on Pedroni (1995, 1997a) have been limited to simple bivariate examples, in large part due to the lack of critical values available for more complex multivariate regressions. The purpose of this paper is to fill this gap by describing a method to implement tests for the null of no cointegration for the case with multiple regressors and to provide appropriate critical values for these cases. The tests allow for considerable heterogeneity among individual members of the panel, including heterogeneity in both the long-run cointegrating vectors as well as heterogeneity in the dynamics associated with short-run deviations from these cointegrating vectors.

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Paper provided by Department of Economics, Williams College in its series Department of Economics Working Papers with number 2000-02.

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Length: 18 pages
Date of creation: Nov 1999
Publication status: published in Oxford Bulletin of Economics and Statistics, Special Issue November 1999, v. 61, pp. 653-70
Handle: RePEc:wil:wileco:2000-02
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