Comparison of Panel Cointegration Tests
Research output: Journal contributions › Journal articles › Research › peer-review
Standard
In: Economics Bulletin, Vol. 3, No. 6, 27.01.2008, p. 1-20.
Research output: Journal contributions › Journal articles › Research › peer-review
Harvard
APA
Vancouver
Bibtex
}
RIS
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 -