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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

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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.

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