Westerlund, Joakim; Hess, Wolfgang - In: Journal of Applied Econometrics 26 (2011) 1, pp. 56-88
This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in...
