Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22689 
Year of Publication: 
2006
Series/Report no.: 
Technical Report No. 2006,45
Publisher: 
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen, Dortmund
Abstract: 
Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (?mixed signals?) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied Econometrics]. Using their methodology, we present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than between tests of the same group.
Subjects: 
Panel cointegration tests
Monte Carlo comparison
Document Type: 
Working Paper

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