Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2007,02
We propose new tests for panel cointegration by extending the panel unit root of Choi  and Maddala and Wu  to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widely used panel cointegration tests.
panel cointegration tests Monte Carlo study meta analysis