Finite Sample Correction Factors for Panel Cointegration Tests

Hlouskova, JaroslavaORCID: and Wagner, MartinORCID: (September 2009) Finite Sample Correction Factors for Panel Cointegration Tests. Former Series > Working Paper Series > IHS Economics Series 244


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Abstract: 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 to 12 regressors and for the system tests vector autoregression dimensions up to 12 variables. All commonly used specifications for the deterministic components are considered. The time dimension sample sizes are 10, 20, 30, 40, 50, 60, 70, 80, 90, 100, 200, 500.;

Item Type: IHS Series
Keywords: 'Panel cointegration test' 'Correction factor' 'Response surface' 'Simulation'
Classification Codes (e.g. JEL): C12, C15, C23
Date Deposited: 26 Sep 2014 10:39
Last Modified: 20 Jul 2024 06:03
ISBN: 1605-7996

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