We propose new tests for panel cointegration by extending the panel unit root tests of choi (2001 choi , i. ( 2001 ). Unit root tests for panel data . Journal of international money and finance 20 ( 2 ): 249 – 272 .[crossref], [web of science ®], , [google scholar]) and maddala and wu (1999 maddala , g. Wu , s. ( 1999 ). A comparative study of unit root tests with panel data and a new simple test . Oxford bulletin of economics and statistics 61 ( s1 ): 631 – 652 .[crossref], , [google scholar]) to the panel cointegration case. The tests are flexible, intuitively appealing, and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widely used panel cointegration tests.
|Number of pages||20|
|Journal||Communications in Statistics-Simulation and Computation|
|Publication status||Published - 1 Jan 2009|