A Monte Carlo Comparison of Tests for Cointegration in Panel Data

Author(s)/Creator(s)

Chihwa Kao, Syracuse University. Center for Policy ResearchFollow

Description/Abstract

This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed for cointegration in panel data. In particular, tests for two panel models, varying intercepts and varying slopes, and varying intercepts and common slopes are presented from the literature with a total of seven tests being simulated. In all cases, results on empirical size and size-adjusted power are given.

Document Type

Working Paper

Date

1999

Keywords

cointegration in panel data, panel data, time-series models, dynamic quantile regressions

Language

English

Series

Working Papers Series

Disciplines

Mathematics

Additional Information

Harvest from RePEc at http://repec.org

Recommended Citation

Kao, Chihwa, "A Monte Carlo Comparison of Tests for Cointegration in Panel Data" (1999). Center for Policy Research. 144.
https://surface.syr.edu/cpr/144

Source

Metadata from RePEc