Westerlund, Joakim; Edgerton, David L. - In: Oxford Bulletin of Economics and Statistics 70 (2008) 5, pp. 665-704
This paper develops a very simple test for the null hypothesis of no cointegration in panel data. The test is general enough to allow for heteroskedastic and serially correlated errors, unit-specific time trends, cross-sectional dependence and unknown structural breaks in both the intercept and...