A Meta Analytic Approach to Testing for Panel Cointegration

Author: Hanck, Christoph

Source: Communications in Statistics: Simulation and Computation, Volume 38, Number 5, May 2009 , pp. 1051-1070(20)

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Abstract:

We propose new tests for panel cointegration by extending the panel unit root tests 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.

Keywords: Meta analysis; Monte Carlo study; Panel cointegration tests

Document Type: Research article

DOI: http://dx.doi.org/10.1080/03610910902750039

Affiliations: 1: Department of Quantitative Economics, Universiteit Maastricht, Maastricht, The Netherlands

Publication date: 2009-05-01