Munich Personal RePEc Archive

Mixed Signals Among Tests for Panel Cointegration

Westerlund, Joakim and Basher, Syed A. (2007): Mixed Signals Among Tests for Panel Cointegration. Forthcoming in: Economic Modelling

[img]
Preview
PDF
MPRA_paper_3261.pdf

Download (166kB) | Preview

Abstract

In this paper, we study the effect that different serial correlation adjustment methods can have on panel cointegration testing. As an example, we consider the very popular tests developed by Pedroni (1999, 2004). Results based on both simulated and real data suggest that different adjustment methods can lead to significant variations in test outcome, and thus also in the conclusions.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.