𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Mixed signals among tests for panel cointegration

✍ Scribed by Joakim Westerlund; Syed A. Basher


Book ID
116423757
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
169 KB
Volume
25
Category
Article
ISSN
0264-9993

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Mixed signals among tests for cointegrat
✍ Allan W. Gregory; Alfred A. Haug; Nicoletta Lomuto πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 116 KB

## Abstract This paper illustrates that, under the null hypothesis of no cointegration, the correlation of __p__‐values from a single‐equation residual‐based test (i.e., __ADF__ or $\widehat{Z}\_{\alpha}$) with a system‐based test (trace or maximum eigenvalue) is very low even as the sample size ge

A new poolability test for cointegrated
✍ Professor Joakim Westerlund; Wolfgang Hess πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 294 KB

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 sa