Intersection tests for the cointegrating rank in dependent panel data

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet


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.
ZeitschriftCommunications in Statistics - Simulation and Computation
Seiten (von - bis)918-941
Anzahl der Seiten24
PublikationsstatusErschienen - 02.04.2020

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