A Meta Analytic Approach to Testing for Panel Cointegration

Christoph Hanck (1)

1 Quantitative Economics

We propose new tests for panel cointegration by extending the panel unit root tests of Choi (JIMF 2001) and Maddala and Wu (OBES 1999) 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.

Mots clés: Physical Sciences

Christoph Hanck. A Meta Analytic Approach to Testing for Panel Cointegration. Communications in Statistics - Simulation and Computation, 2009, 38 (05), pp.1051-1070. ⟨10.1080/03610910902750039⟩. ⟨hal-00514347⟩