Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/24989
Authors: 
Hanck, Christoph
Year of Publication: 
2007
Series/Report no.: 
Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2007,02
Abstract: 
We propose new tests for panel cointegration by extending the panel unit root of Choi [2001] and Maddala and Wu [1999] 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.
Subjects: 
panel cointegration tests
Monte Carlo study
meta analysis
Document Type: 
Working Paper

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