Hanck, Christoph - In: Journal of Applied Statistics 36 (2009) 7, pp. 817-833
We use meta-analytic procedures to develop new tests for panel cointegration, combining p-values from time-series cointegration tests on the units of the panel. The tests are robust to heterogeneity and cross-sectional dependence between the panel units. To achieve the latter, we employ a sieve...