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Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis

We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel. The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests. We derive limiting distributions for these and show that they are normal and free of nuisance parameters+ We also provide Monte Carlo evidence to demonstrate their small sample size and power performance, and we illustrate their use in testing purchasing power parity for the post–Bretton Woods period.

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File URL: http://web.williams.edu/Economics/wp/pedronipanelcointegration.pdf
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Paper provided by Department of Economics, Williams College in its series Department of Economics Working Papers with number 2004-15.

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Length: 39 pages
Date of creation: 2004
Date of revision:
Publication status: published in Econometric Theory, 20, 597-325, 2004.
Handle: RePEc:wil:wileco:2004-15
Contact details of provider: Postal: Williamstown, MA 01267
Phone: 413 597 2476
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Web page: http://econ.williams.edu
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