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Comparison of Panel Cointegration Tests

Publikation: Beiträge in Zeitschriften › Zeitschriftenaufsätze › Forschung › begutachtet

Authors

The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric group-t statistics of Pedroni(1999} and the standardized LR-bar statistic of Larsson et al.(2001) are considered. The simulation results indicate that the panel-t and the standardized LR-bar statistic have the best size and power properties among the five panel cointegration test statistics evaluated.
OriginalspracheEnglisch
ZeitschriftEconomics Bulletin
Jahrgang3
Ausgabenummer6
Seiten (von - bis)1-20
Anzahl der Seiten20
ISSN1545-2921
PublikationsstatusErschienen - 27.01.2008

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