The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study

Wagner, Martin and Hlouskova, Jaroslava ORCID: https://orcid.org/0000-0002-2298-0068 (May 2007) The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study. Closed Series > Working Paper Series > IHS Economics Series 210

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Abstract: This paper presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the tests developed in Pedroni (1999, 2004), Westerlund (2005), Larsson, Lyhagen, and Löthgren (2001) and Breitung (2005); and the estimators developed in Phillips and Moon (1999), Pedroni (2000), Kao and Chiang (2000), Mark and Sul (2003), Pedroni (2001) and Breitung (2005). We study the impact of stable autoregressive roots approaching the unit circle, of I(2) components, of short-run cross-sectional correlation and of cross-unit cointegration on the performance of the tests and estimators. The data are simulated from three-dimensional individual specific VAR systems with cointegrating ranks varying from zero to two for fourteen different panel dimensions. The usual specifications of deterministic components are considered.;

Item Type: IHS Series
Keywords: 'Cross-sectional dependence' 'Estimator' 'Panel cointegration' 'Simulation study' 'Test'
Classification Codes (e.g. JEL): C12, C15, C23
Status: Published
Date Deposited: 26 Sep 2014 10:38
Last Modified: 15 Nov 2019 07:02
ISBN: 1605-7996
URI: https://irihs.ihs.ac.at/id/eprint/1771

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