Cross-Sectional Correlation Robust Tests for Panel Cointegration

C.H. Hanck*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review


We use meta-analytic procedures to develop new tests for panel cointegration, combining p-values from time-series cointegration tests on the units of the panel. The tests are robust to heterogeneity and cross-sectional dependence between the panel units. To achieve the latter, we employ a sieve bootstrap procedure with joint resampling of the units’ residuals. A simulation study shows that the tests can have substantially smaller size distortion than tests ignoring the presence of cross-sectional dependence while preserving high power. We apply the tests to a panel of post-bretton woods data to test for weak purchasing power parity.
Original languageEnglish
Pages (from-to)817-833
Number of pages17
JournalJournal of Applied Statistics
Publication statusPublished - 1 Jan 2009


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