Meta-analytic cointegrating rank tests for dependent panels

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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 tests have reasonable size and power properties in finite samples. The application of the tests is illustrated by investigating the monetary exchange rate model for a panel data of 19 countries.

Original languageEnglish
JournalEconometrics and Statistics
Pages (from-to)61-72
Number of pages12
Publication statusPublished - 01.04.2017

    Research areas

  • Economics - Panel cointegration, p-value, Common factors, Rank test, Cross-sectional dependence