Bandt, Olivier de (contributor); … - 2006
panel framework; (iii) they allow
to deal with variables that are possibly of di�erent order of integration, namely I(0) and …= 0 or yx:x 6= 0g.
The test statistic has a Fisher distribution, which depends on the integration order of
series Y and X ….
Under the null hypothesis, the asymptotic distribution of the Fisher statistic is not
standard, whatever the integration …