A new poolability test for cointegrated panels

descriptionPublicationkeyboard_double_arrow_right Article 14 Dec 2009 English Publisher:WileyJournal:Journal of Applied Econometrics, volume 26, pages 56-88 (issn: 0883-7252,

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Authors: Joakim Westerlund; Wolfgang Hess;

doi: 10.1002/jae.1143

A new poolability test for cointegrated panels

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Abstract

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small samples. An empirical application to the monetary exchange rate model is also provided. Copyright © 2009 John Wiley & Sons, Ltd.

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