Error correction testing in panels with common stochastic trends

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

Research output: Contribution to journalArticleAcademicpeer-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 languageEnglish
Pages (from-to)982-1004
Number of pages23
JournalJournal of Applied Econometrics
Volume31
Issue number6
Early online date14 Jul 2015
DOIs
Publication statusPublished - 2016

Keywords

  • UNIT-ROOT TESTS
  • COINTEGRATION TESTS
  • POWER

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