Do Panel Cointegration Tests Produce Mixed Signals ?
It was recently shown that time series cointegration tests, even in the presence of large sample sizes, often yield conicting conclusions (\mixed signals") as measured by, inter alia, a low correlation of empirical p-values. We present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than between tests of the same group.
Year of publication: |
2012
|
---|---|
Authors: | HANCK, Christoph |
Published in: |
Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 2012, 107-108
|
Publisher: |
École Nationale de la Statistique et de l'Admnistration Économique (ENSAE) |
Saved in:
freely available
Saved in favorites
Similar items by person
-
OLS-based estimation of the disturbance variance under spatial autocorrelation
Krämer, Walter, (2006)
-
Are PPP Tests Erratically Behaved? Some Panel Evidence
Caporale, Guglielmo Maria, (2006)
-
Cross-Sectional Correlation Robust Tests for Panel Cointegration
Hanck, Christoph, (2006)
- More ...