Arbeitspapier
Mixed Signals Among Panel Cointegration Tests
Time series cointegration tests, even in the presence of large sample sizes, often yield conflicting conclusions (?mixed signals?) as measured by, inter alia, a low correlation of empirical p-values [see Gregory et al., 2004, Journal of Applied Econometrics]. Using their methodology, we present evidence suggesting that the problem of mixed signals persists for popular panel cointegration tests. As expected, there is weaker correlation between residual and system-based tests than between tests of the same group.
- Sprache
-
Englisch
- Erschienen in
-
Series: Technical Report ; No. 2006,45
- Thema
-
Panel cointegration tests
Monte Carlo comparison
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hanck, Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (wo)
-
Dortmund
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hanck, Christoph
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Entstanden
- 2006
Ähnliche Objekte (12)
Mixed signals among panel cointegration tests
Comparison of Panel Cointegration Tests
Essays on panel cointegration testing
Comparison of panel cointegration tests
Cointegration analysis with mixed-frequency data
The relationship between tourism and economic growth among BRICS countries: A panel cointegration analysis
The relationship among information and communication technologies and GDP in Middle East countries: panel cointegration approach
The relationship among information and communication technologies and GDP in Middle East countries: panel cointegration approach
Cross-sectional correlation robust tests for panel cointegration
Finite sample correction factors for panel cointegration tests
Cross-Sectional Correlation Robust Tests for Panel Cointegration
Religiosity and income: A panel cointegration and causality analysis
Mixed signals among panel cointegration tests
Comparison of Panel Cointegration Tests
Essays on panel cointegration testing
Comparison of panel cointegration tests
Cointegration analysis with mixed-frequency data
The relationship between tourism and economic growth among BRICS countries: A panel cointegration analysis
The relationship among information and communication technologies and GDP in Middle East countries: panel cointegration approach
The relationship among information and communication technologies and GDP in Middle East countries: panel cointegration approach
Cross-sectional correlation robust tests for panel cointegration
Finite sample correction factors for panel cointegration tests
Cross-Sectional Correlation Robust Tests for Panel Cointegration
Religiosity and income: A panel cointegration and causality analysis
Mixed signals among panel cointegration tests
Comparison of Panel Cointegration Tests
Essays on panel cointegration testing
Comparison of panel cointegration tests
Cointegration analysis with mixed-frequency data
The relationship between tourism and economic growth among BRICS countries: A panel cointegration analysis
The relationship among information and communication technologies and GDP in Middle East countries: panel cointegration approach
The relationship among information and communication technologies and GDP in Middle East countries: panel cointegration approach
Cross-sectional correlation robust tests for panel cointegration
Finite sample correction factors for panel cointegration tests
Cross-Sectional Correlation Robust Tests for Panel Cointegration