Comparison of Panel Cointegration Tests
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Comparison of Panel Cointegration Tests. / Karaman Örsal, Deniz Dilan.
Berlin : Humboldt-Universität zu Berlin, 2007. (SFB 649 - Economic Risk; Band 2007, Nr. 029).Publikation: Arbeits- oder Diskussionspapiere und Berichte › Arbeits- oder Diskussionspapiere
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TY - UNPB
T1 - Comparison of Panel Cointegration Tests
AU - Karaman Örsal, Deniz Dilan
PY - 2007
Y1 - 2007
N2 - The main aim of this paper is to compare the size and size-adjusted power prop-erties of four residual-based and one maximum-likelihood-based panel cointegrationtests with the help of Monte Carlo simulations. In this study the panel-ρ, the group-ρ, the panel-t, the group-tstatistics of Pedroni (1999) and the standardized LR-barstatistic of Larsson et al. (2001) are considered. The simulation results indicate thatthe panel-tand standardized LR-bar statistic have the best size and power proper-ties among the five panel cointegration test statistics evaluated. Finally, the FisherHypothesis is tested with two different data sets for OECD countries. The resultspoint out the existence of the Fisher relation.
AB - The main aim of this paper is to compare the size and size-adjusted power prop-erties of four residual-based and one maximum-likelihood-based panel cointegrationtests with the help of Monte Carlo simulations. In this study the panel-ρ, the group-ρ, the panel-t, the group-tstatistics of Pedroni (1999) and the standardized LR-barstatistic of Larsson et al. (2001) are considered. The simulation results indicate thatthe panel-tand standardized LR-bar statistic have the best size and power proper-ties among the five panel cointegration test statistics evaluated. Finally, the FisherHypothesis is tested with two different data sets for OECD countries. The resultspoint out the existence of the Fisher relation.
KW - Economics
KW - Panel cointegration test
KW - Monte Carlo study
KW - Fischer Hypothesis
U2 - 10.18452/4048
DO - 10.18452/4048
M3 - Working papers
T3 - SFB 649 - Economic Risk
BT - Comparison of Panel Cointegration Tests
PB - Humboldt-Universität zu Berlin
CY - Berlin
ER -