The panel cointegration test of Larsson et al (1998) test for the maximum number of cointegrating relations in a … Carlo simulation shows that the test has good small sample size and power properties. In the consumption function example in …

test statistic is shown to have size very close to the nominal. We give an empirical example for a consumption model … including consumption, income and inflation. …

This paper provides a review of the literature on unit roots and cointegration …

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T … degrees, the dependence that might prevail across the different units in the panel. In the analysis of cointegration, the … hypothesis testing and estimation problems are further complicated by the possibility of cross section cointegration which could …

This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs …