Error correction testing in panels with common stochastic trends
| Data(s) |
01/09/2016
|
|---|---|
| Resumo |
This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples. Copyright © 2015 John Wiley & Sons, Ltd. |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Wiley |
| Relação |
http://dro.deakin.edu.au/eserv/DU:30088165/westerlund-errorcorrectiontesting-2016.pdf http://www.dx.doi.org/10.1002/jae.2475 |
| Direitos |
2016, Wiley |
| Tipo |
Journal Article |
