Please use this identifier to cite or link to this item: https://hdl.handle.net/1959.11/8357
Title: New Tests for Cointegration in Heterogeneous Panels
Contributor(s): Hoang, Nam  (author)orcid 
Publication Date: 2010
Handle Link: https://hdl.handle.net/1959.11/8357
Abstract: This paper makes the following contributions to the existing literature on panel cointegration. First, two new tests based on the principle of weighted symmetric estimation are proposed for panel cointegration testing. Second, the asymptotic distributions of these new tests are examined, and these are shown to be well defined Weiner processes that are free of nuisance parameters. Third, the size and power properties of the proposed tests are studied with a Monte Carlo simulation, and their properties are found to be superior to those of the existing tests across a range of environments.
Publication Type: Conference Publication
Conference Name: ACE10: 39th Annual Australian Conference of Economists, Sydney, Australia, 27th - 29th September, 2010
Conference Details: ACE10: 39th Annual Australian Conference of Economists, Sydney, Australia, 27th - 29th September, 2010
Source of Publication: Annual Conference of Economists (ACE10) Papers, p. 1-44
Publisher: Economic Society of Australia
Place of Publication: Online
Field of Research (FOR): 140304 Panel Data Analysis
140305 Time-Series Analysis
Peer Reviewed: Yes
HERDC Category Description: E1 Refereed Scholarly Conference Publication
Other Links: https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=ACE10&paper_id=168
Series Name: Australian Conference of Economists Papers
Series Number : ACE2010
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Appears in Collections:Conference Publication
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