Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72669
Authors: 
Wagner, Martin
Hlouskova, Jaroslava
Year of Publication: 
2007
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 210
Abstract: 
This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators developed in Phillips and Moon (1999), Pedroni (2000), Kao and Chiang (2000), Mark and Sul (2003), Pedroni (2001) and Breitung (2005). We study the impact of stable autoregressive roots approaching the unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the performance of the tests and estimators. The data are simulated from three-dimensional individual specific VAR systems with cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic components are considered.
Subjects: 
cross-sectional dependence
estimator
panel cointegration
simulation study
test
JEL: 
C12
C15
C23
Document Type: 
Working Paper

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