Error correction testing in panels with common stochastic trends

C. Gengenbach; J.R.Y.J. Urbain; J. Westerlund

doi:10.1002/jae.2475

Error correction testing in panels with common stochastic trends

C. Gengenbach, J.R.Y.J. Urbain^*, J. Westerlund

^*Corresponding author for this work

Quantitative Economics

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples. Copyright (c) 2015 John Wiley & Sons, Ltd.

Original language	English
Pages (from-to)	982-1004
Number of pages	23
Journal	Journal of Applied Econometrics
Volume	31
Issue number	6
Early online date	14 Jul 2015
DOIs	https://doi.org/10.1002/jae.2475
Publication status	Published - 2016

Keywords

UNIT-ROOT TESTS
COINTEGRATION TESTS
POWER

Access to Document

10.1002/jae.2475

Cite this

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title = "Error correction testing in panels with common stochastic trends",

abstract = "This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples. Copyright (c) 2015 John Wiley & Sons, Ltd.",

keywords = "UNIT-ROOT TESTS, COINTEGRATION TESTS, POWER",

author = "C. Gengenbach and J.R.Y.J. Urbain and J. Westerlund",

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AB - This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples. Copyright (c) 2015 John Wiley & Sons, Ltd.

KW - UNIT-ROOT TESTS

KW - COINTEGRATION TESTS

KW - POWER

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M3 - Article

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