Some Cautions On The Use Of Panel Methods For Integrated Series Of Macroeconomic Data  

Oleh:

Banerjee, Anindya ; Marcellino, Massimiliano ; Osbat, Chiara

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 7 no. 2 (Dec. 2004), page 322–340.
Topik: Panel data; Cointegration; Unit roots
Fulltext: 322.pdf (134.55KB)

Isi artikel

Existing panel cointegration tests rule out cross-unit cointegrating relationships, while economic theory and empirical observation argue strongly in favour of their presence. Using an extensive set of simulation experiments, we show that both univariate and multivariate panel cointegration tests can be substantially oversized in the presence of crossunit cointegration. We also propose a test for cross-unit cointegration that performs well in practice and can be used to decide upon the usefulness of panel methods.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali