Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/155665
Authors: 
Arsova, Antonia
Karaman Örsal, Deniz Dilan
Year of Publication: 
2016
Series/Report no.: 
University of Lüneburg Working Paper Series in Economics 357
Abstract: 
This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes' (1986) intersection test and requires only the p-values of suitable individual test statistics. A Monte Carlo study demonstrates that this simple test is robust to crosssectional dependence and has reasonable size and power properties. A multivariate version of Kendall's tau is used to test an important assumption underlying Simes' procedure for dependent statistics. The method is illustrated by testing the validity of the monetary exchange rate model for 8 OECD countries in the post-Bretton Woods era.
Subjects: 
panel cointegration rank test
cross-sectional dependence
multiple testing
common factors
likelihood-ratio
JEL: 
C12
C15
C33
Document Type: 
Working Paper

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