A Monte Carlo Comparison of Tests for Cointegration in Panel Data

Suzanne McCoskey; Chihwa Kao

Abstract

This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed for cointegration in panel data. In particular, tests for two panel models, varying intercepts and varying slopes and varying intercepts and common slopes, are presented from the literature with a total of five tests being simulated. In all cases, results on empirical size and size-adjusted power are given.

Keywords

Monte Carlo methodCointegrationPanel dataEconometricsStatisticsMathematics

Related Publications

Nonstationary panels, cointegration in panels and dynamic panels: A survey

Badi H. Baltagi , Chihwa Kao

This chapter provides an overview of topics in nonstationary panels: panel unit root tests, panel cointegration tests, and estimation of panel cointegration models. In addition ...

2004 Advances in econometrics 308 citations

Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors

Peter Pedroni

In this paper we describe a method for testing the null of no cointegration in dynamic panels with multiple regressors and compute approximate critical values for these tests. M...

1999 Oxford Bulletin of Economics and Stat... 4411 citations

PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

Peter Pedroni

We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are pe...

2004 Econometric Theory 6191 citations

A residual-based test of the null of cointegration in panel data

Suzanne McCoskey , Chihwa Kao

This paper proposes a residual-based Lagrange Multiplier (LM) test for the null of cointegration in panel data. The test is analogous to the locally best unbiased invariant (LBU...

1998 Econometric Reviews 661 citations

Fully modified OLS for heterogeneous cointegrated panels

Peter Pedroni

This chapter uses fully modified OLS principles to develop new methods for estimating and testing hypotheses for cointegrating vectors in dynamic panels in a manner that is cons...

2004 Advances in econometrics 2504 citations

Publication Info

Year: 1997
Type: preprint
Citations: 30
Access: Closed

External Links

Citation Metrics

OpenAlex

Cite This

APA Style

                            
                                    Suzanne McCoskey, 
                                
                                    Chihwa Kao
                                
                            (1997). 
                            A Monte Carlo Comparison of Tests for Cointegration in Panel Data. 
                            RePEc: Research Papers in Economics
                            
                            .