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 -