This paper proposes a new panel unit root test based on Simes' [Biometrika 1986, An Improved Bonferroni Procedure for … panel, and no resampling. Monte Carlo experiments show good size and power properties relative to existing panel unit root … tests. Unlike previously suggested tests, the new test allows to identify the units in the panel for which the alternative …

; Panel data …

We propose new tests for panel cointegration by extending the panel unit root of Choi [2001] and Maddala and Wu [1999 …] to the panel cointegration case. The tests are flexible, intuitively appealing and relatively easy to compute. We … size and power with other widely used panel cointegration tests. -- panel cointegration tests ; Monte Carlo study ; meta …

This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce … disappears, and strong empirical support is found for PPP. It appears therefore that recent advances in panel data econometrics …

We use meta analytic combination procedures to develop new tests for panel cointegration. The main idea consists in … combining p-values from time series cointegration tests on the different units of the panel. The tests are robust to … heterogeneity as well as to cross-sectional dependence between the different units of the panel. To achieve the latter, we employ a …

popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than …

Meta-analytic panel unit root tests such as Fisher's X 2 test, which consist of pooling the p-values of time series …-in-Rejection Probabilities (or, synonymously, size distortion) to increase with the number of series in the panel. We investigate this puzzling … p-value distribution. We find that the size distortions of the panel tests can be explained as the cumulative effect of …