We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under …

-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the asymptotics of … LSDV. In the second half of the paper we study residual-based tests for cointegration regression in panel data. We study … Dickey-Fuller (DF) tests and an augmented Dickey-Fuller (ADF) test to test the null of no cointegration. Asymptotic …

This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed for cointegration …

This paper proposes a residual-based Lagrange Multiplier (LM) test for the null of cointegration in panel data. The … the data set rather than underlying economic models, the recent development of the cointegration literature has allowed … null of cointegration in a panel setting and should be of considerable interest to economists in a wide variety of fields. …

This paper enlarges on Karlsoon and Löthgreen’s (2000) results on panel unit root tests to panel cointegration tests …) test. In addition, depending on the T-dimension of the panel, cointegration tests can have high power when a small or high … cointegration for the whole panel not all the relationships can be really cointegrated. …

In the paper we extend Gregory and Hansen’s (1996)ADF, Za, Zt cointegration tests to panel data, using the method … proposed in Maddala and Wu (1999). We test the null hypothesis of no cointegration for all the units in the panel against the … alternative hypothesis of cointegration, while allowing for a one-time regime shift of unknown timing for at least some …

heterogenous warming effects play a significant role in identifying nonlinear climate sensitivity. Cointegration and specification …