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.
|Number of pages||23|
|Journal||Journal of Applied Econometrics|
|Early online date||14 Jul 2015|
|Publication status||Published - 2016|
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