TY - JOUR

T1 - Comparison of Panel Cointegration Tests

AU - Karaman Örsal, Deniz Dilan

PY - 2008/1/27

Y1 - 2008/1/27

N2 - 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.

AB - 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.

KW - Economics

KW - Ökonometrie

KW - Economics, empirical/statistics

UR - http://www.scopus.com/inward/record.url?scp=40349116450&partnerID=8YFLogxK

M3 - Journal articles

VL - 3

SP - 1

EP - 20

JO - Economics Bulletin

JF - Economics Bulletin

SN - 1545-2921

IS - 6

ER -