Comparison of Panel Cointegration Tests

descriptionPublicationkeyboard_double_arrow_right Research , Article , Preprint 01 Jan 2007Embargo end date: 15 Jun 2017 Germany English Publisher:Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic RiskJournal:Economics Bulletin, volume 3, pages 1-20

Authors: Deniz Dilan Karaman Örsal;

doi: 10.18452/4048

handle: 10419/25201

Comparison of Panel Cointegration Tests

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Abstract

The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric group-t statistics of Pedroni(1999} and the standardized LR-bar statistic of Larsson et al.(2001) are considered. The simulation results indicate that the panel-t and the standardized LR-bar statistic have the best size and power properties among the five panel cointegration test statistics evaluated.

The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric group-t statistics of Pedroni(1999} and the standardized LR-bar statistic of Larsson et al.(2001} are considered. The simulation results indicate that the panel-t and the standardized LR-bar statistic have the best size and power properties among the five panel cointegration test statistics evaluated.

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Germany

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/dk/atira/pure/core/keywords/557389186; name=Economics, Monte Carlo Study, OECD-Staaten, Panel Cointegration tests, Ökonometrie, Fisher Hypothesis, C15, C33, Panel cointegration test, Monte Carlo study, Fisher-Effekt, ddc:330, 330 Wirtschaft, Panel Cointegration tests, Monte Carlo Study, Fisher Hypothesis., /dk/atira/pure/core/keywords/558839983; name=Economics, empirical/statistics, Kointegration, /dk/atira/pure/subjectarea/asjc/2000; name=Economics, Econometrics and Finance(all), Fischer Hypothesis, Panel, Theorie, C23, PanelCointegration tests, Schätzung, jel: jel:C23, jel: jel:C1, jel: jel:C33, jel: jel:C15

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