Meta-analytic cointegrating rank tests for dependent panels

Arbeitspapier

This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper Series in Economics ; No. 349

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Subject: panel cointegration ; p-value ; common factors ; rank test ; crosssectional dependence

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Karaman Örsal, Deniz Dilan ; Arsova, Antonia
• Event: Veröffentlichung
• (who): Leuphana Universität Lüneburg, Institut für Volkswirtschaftslehre
• (where): Lüneburg
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/126545