期刊
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION
卷 38, 期 5, 页码 1051-1070出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/03610910902750039
关键词
Meta analysis; Monte Carlo study; Panel cointegration tests
资金
- DFG under Sonderforschungsbereich 475
- Ruhr Graduate School in Economics
We propose new tests for panel cointegration by extending the panel unit root tests of Choi (2001) and Maddala and Wu (1999) to the panel cointegration case. The tests are flexible, intuitively appealing, and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widely used panel cointegration tests.
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