Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed
Data(s) |
01/10/2015
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Resumo |
In this paper, we propose new cointegration tests for single equations and panels. Inboth cases, the asymptotic distributions of the tests, which are derived with N fixed andT → ∞, are shown to be standard normals. The effects of serial correlation and crosssectionaldependence are mopped out via long-run variances. An effective bias correctionis derived which is shown to work well in finite samples; particularly when N is smallerthan T. Our panel tests are robust to possible cointegration across units. |
Identificador |
http://dx.doi.org/10.1111/ectj.12054 http://pure.qub.ac.uk/ws/files/16097858/p1309_rev3_accepted.pdf |
Idioma(s) |
eng |
Direitos |
info:eu-repo/semantics/openAccess |
Fonte |
Hadri , K , Kurozumi , E & Rao , Y 2015 , ' Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed ' Econometrics Journal , vol 18 , no. 3 , pp. 363-411 . DOI: 10.1111/ectj.12054 |
Palavras-Chave | #cointegration, panel cointegration, cross-section dependence, bias correction, DOLS, FCLT. |
Tipo |
article |
Formato |
application/pdf |