A new poolability test for cointegrated
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Professor Joakim Westerlund; Wolfgang Hess
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Article
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2009
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John Wiley and Sons
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English
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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