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ArtikelLikelihood-based cointegration tests in heterogeneous panels  
Oleh: Larsson, Rolf ; Lyhagen, Johan ; Lothgren, Mickael
Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 4 no. 1 (2001), page 109-148.
Topik: Panel data; cointegration; consumption model.
Fulltext: 109.pdf (711.59KB)
Isi artikelThis paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this, the asymptotic distribution of the test statistic is shown to be normal. The small-sample size and power properties are investigated using Monte Carlo simulations. An empirical example for a consumption model including consumption, income and inflation is estimated for 23 OECD countries over the period 1960–1994. The results indicate that two cointegrating relations exist in the system: one containing consumption and income and one inflation only
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