A Meta Analytic Approach to Testing for Panel Cointegration |
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Authors: | Christoph Hanck |
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Institution: | 1. Department of Quantitative Economics , Universiteit Maastricht , Maastricht , The Netherlands c.hanck@ke.unimaas.nl |
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Abstract: | We propose new tests for panel cointegration by extending the panel unit root tests of Choi (2001
Choi , I. ( 2001 ). Unit root tests for panel data . Journal of International Money and Finance 20 ( 2 ): 249 – 272 .Crossref], Web of Science ®] , Google Scholar]) and Maddala and Wu (1999
Maddala , G. ,
Wu , S. ( 1999 ). A comparative study of unit root tests with panel data and a new simple test . Oxford Bulletin of Economics and Statistics 61 ( S1 ): 631 – 652 .Crossref] , Google Scholar]) to the panel cointegration case. The tests are flexible, intuitively appealing, and relatively easy to compute. We investigate the finite sample behavior in a simulation study. Several variants of the tests compare favorably in terms of both size and power with other widely used panel cointegration tests. |
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Keywords: | Meta analysis Monte Carlo study Panel cointegration tests |
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