Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/126545
Authors: 
Karaman Örsal, Deniz Dilan
Arsova, Antonia
Year of Publication: 
2015
Series/Report no.: 
University of Lüneburg Working Paper Series in Economics 349
Abstract: 
This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples.
Subjects: 
panel cointegration
p-value
common factors
rank test
crosssectional dependence
JEL: 
C12
C15
C33
Document Type: 
Working Paper

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