TY - UNPB

T1 - Meta-analytic cointegrating rank tests for dependent panels

AU - Karaman Örsal, Deniz Dilan

AU - Arsova, Antonia

PY - 2015/11

Y1 - 2015/11

N2 - Two new panel cointegrating rank tests which are robust to cross sectional dependence are proposed. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a meta-analytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined into the panel statistics. A simulation study shows that the test shave reasonable size and power properties infinite samples. The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.

AB - Two new panel cointegrating rank tests which are robust to cross sectional dependence are proposed. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a meta-analytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined into the panel statistics. A simulation study shows that the test shave reasonable size and power properties infinite samples. The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.

KW - Economics

KW - Panel cointegration

KW - p-value

KW - Common factors

KW - Rank test

KW - Cross-sectional dependence

KW - Economics, empirical/statistics

M3 - Working papers

T3 - University of Lüneburg Working Paper Series in Economics

BT - Meta-analytic cointegrating rank tests for dependent panels

PB - Institut für Volkswirtschaftslehre der Universität Lüneburg

CY - Lüneburg

ER -