Groen, Jan J J; Kleibergen, Frank - In: Journal of Business & Economic Statistics 21 (2003) 2, pp. 295-318
We propose a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error-correction (VEC) models. We obtain likelihood ratio statistics to test for a common cointegration rank across the individual VEC models with both heterogeneous and homogeneous...