Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/72669 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Reihe Ökonomie / Economics Series No. 210
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
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.
Schlagwörter: 
cross-sectional dependence
estimator
panel cointegration
simulation study
test
JEL: 
C12
C15
C23
Dokumentart: 
Working Paper

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