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A new poolability test for cointegrated panels

✍ Scribed by Professor Joakim Westerlund; Wolfgang Hess

Publisher: John Wiley and Sons
Year: 2009
Tongue: English
Weight: 294 KB
Volume: 26
Category: Article
ISSN: 0883-7252
DOI: 10.1002/jae.1143

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✦ Synopsis

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small samples. An empirical application to the monetary exchange rate model is also provided. Copyright  2009 John Wiley & Sons, Ltd.

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