The purpose of this paper is to propose a new likelihood-based panel cointegration test in the presence of a linear time trend in the data generating process. This new test is an extension of the likelihood ratio (LR) test of Saikkonen & Lütkepohl (2000) for trend-adjusted data to the panel...

A new likelihood-based panel cointegration test which allows a linear time trend in the data generating process is proposed. The test is an extension of the likelihood ratio type test with trend adjustment prior to testing to the panel data framework. Under the null hypothesis, the standardized...

This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Orsal and Droge (2012) (henceforth Panel SL test) to allow for crosssectional dependence. The dependence is modelled by unobserved common factors which affect the variables in each cross-section...

This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Örsal & Droge (2012) (henceforth Panel SL test) to allow for cross-sectional dependence. The dependence is modelled by unobserved common factors which affect the variables in each cross-section...

This paper proposes a new likelihood-based panel cointegration rank test which extends the test of Oersal and Droge (2012) (henceforth Panel SL test) to allow for crosssectional dependence. The dependence is modelled by unobserved common factors which affect the variables in each cross-section...

In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up...

In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests presented in Pedroni (1999, 2004), Westerlund (2005), Larsson et al. (2001), and Breitung (2005). For the single equation tests we consider up...

This paper proposes four new tests for the null hypothesis of no cointegration in panel data that are based on the error correction parameter in a conditional error correction model. The limit distribution of the test statistics are derived and critical values are provided. Our Monte Carlo...

This paper analyzes the role of common data problems when identifying structural breaks in small samples. Most notably, we survey small sample properties of the most commonly applied endogenous break tests developed by Brown, Durbin, and Evans (1975) and Zeileis (2004), Nyblom (1989) and Hansen...

This paper analyzes the role of common data problems when identifying structural breaks in small samples. Most notably, we survey small sample properties of the most commonly applied endogenous break tests developed by Brown, Durbin, and Evans (1975) and Zeileis (2004), Nyblom (1989) and Hansen...