Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed

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      In this paper, we propose new cointegration tests for single equations and panels. Inboth cases, the asymptotic distributions of the tests, which are derived with N fixed andT → ∞, are shown to be standard normals. The effects of serial correlation and crosssectionaldependence are mopped out via long-run variances. An effective bias correctionis derived which is shown to work well in finite samples; particularly when N is smallerthan T. Our panel tests are robust to possible cointegration across units.

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      • Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed

        Rights statement: © 2015 Royal Economic Society. This is the peer reviewed version of this article, which has been published in final form at DOI: 10.1111/ectj.12054. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.

        Accepted author manuscript, 318 KB, PDF-document

      DOI

      Original languageEnglish
      Pages (from-to)363-411
      JournalEconometrics Journal
      Journal publication dateOct 2015
      Issue number3
      Volume18
      Early online date14 Jul 2015
      DOIs
      StatePublished - Oct 2015

        Research areas

      • cointegration, panel cointegration, cross-section dependence, bias correction, DOLS, FCLT.

      ID: 16097856