Error Correction Testing in Panels with Common Stochastic Trends

被引：56

作者：

Gengenbach, Christian ^{[1
]}

Urbain, Jean-Pierre ^{[1
]}

Westerlund, Joakim ^{[2
,3
]}

机构：

[1] Maastricht Univ, Sch Business & Econ, Dept Quantitat Econ, NL-6200 MD Maastricht, Netherlands

[2] Lund Univ, Dept Econ, S-22100 Lund, Sweden

[3] Deakin Univ, Ctr Res Econ & Financial Econometr, Financial Econometr Grp, Geelong, Vic 3217, Australia

来源：

JOURNAL OF APPLIED ECONOMETRICS | 2016年 / 31卷 / 06期

关键词：

UNIT-ROOT TESTS; COINTEGRATION TESTS; POWER;

D O I：

10.1002/jae.2475

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 (c) 2015 John Wiley & Sons, Ltd.

引用

页码：982 / 1004

页数：23

共 26 条

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[2]

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