Panel-Data Co-integration Tests: A Survey
Type de matériel :
TexteLangue : français Détails de publication : 2008.
Sujet(s) : Ressources en ligne : Abrégé : This paper offers an overview of panel-data cointegration tests. We present the main tests based on the null hypothesis of no cointegration (Pedroni, Kao, Bai and Ng test; Groen andKleibergen test) and the McCoskey and Kao test based on the null hypothesis of cointegration. We also discuss issues relating to the comparison of test size and power, inference, and the estimation of cointegrated systems.
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This paper offers an overview of panel-data cointegration tests. We present the main tests based on the null hypothesis of no cointegration (Pedroni, Kao, Bai and Ng test; Groen andKleibergen test) and the McCoskey and Kao test based on the null hypothesis of cointegration. We also discuss issues relating to the comparison of test size and power, inference, and the estimation of cointegrated systems.
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