Intersection tests for the cointegrating rank in dependent panel data

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This paper takes a multiple testing perspective on the problem of determining the cointegrating rank in macroeconometric panel data with cross-sectional dependence. The testing procedure for a common rank among the panel units is based on Simes’ (1986) intersection test and requires only the p-values of suitable individual test statistics. A Monte Carlo study demonstrates that these simple tests are robust to cross-sectional dependence and have reasonable size and power properties. A multivariate version of Kendall’s tau is used to test an important assumption underlying Simes’ procedure for dependent statistics. The proposed method is illustrated by an empirical application.
OriginalspracheEnglisch
ZeitschriftCommunications in Statistics - Simulation and Computation
Band49
Ausgabennummer4
Seiten (von - bis)918-941
Anzahl der Seiten24
ISSN0361-0918
DOIs
PublikationsstatusErschienen - 04.2020

DOI

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