New Tests For Cointegration in Heterogeneous Panels

Title
New Tests For Cointegration in Heterogeneous Panels
Publication Date
2006
Author(s)
Hoang, Nam
( author )
OrcID: https://orcid.org/0000-0003-2938-1209
Email: nhoang3@une.edu.au
UNE Id une-id:nhoang3
Type of document
Working Paper
Language
en
Entity Type
Publication
Series
Discussion Papers in Economics
UNE publication id
une:6743
Abstract
In this paper, the performances of panel data unit root tests are considered and various estimation methods under different properties of data are compared. It is shown that weighted symmetric estimation increases the power of the tests without adversely affecting the size, for most data properties and most panels of dimensions N and T. The presence of serial correlation and cross-sectional correlation does not reduce the power of the tests significantly.
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