Abstract
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 language | English |
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Pages (from-to) | 817-833 |
Number of pages | 17 |
Journal | Journal of Applied Statistics |
DOIs | |
Publication status | Published - 1 Jan 2009 |