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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25201
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| Title: | | Comparison of panel cointegration tests  |
| Authors: | | Örsal, Deniz Dilan Karaman |
| Issue Date: | | 2007 |
| Series/Report no.: | | SFB 649 discussion paper 2007,029 |
| Abstract: | | The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the group-p, the panel-t, the group-t statistics of Pedroni (1999) and the standardized LR-bar statistic of Larsson er al. (2001) are considered. The simulation results indicate that the panel-t and standardized LR-bar statistic have the best size and power properties among the five panel cointegration test statistics evaluated. Finally, the Fisher Hypothesis is tested with two different data sets for OECD countries. The results point out the existence of the Fisher relation. |
| Subjects: | | PanelCointegration tests Monte Carlo Study Fisher Hypothesis |
| JEL: | | C23 C33 C15 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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