Panel cointegration testing in the presence of linear time trends

Artikel

We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under investigation rely on single-equations estimated by least squares, and they may be residual-based or not. We focus on test statistics computed from regressions with intercept only (i.e., without detrending) and with at least one of the regressors (integrated of order 1) being dominated by a linear time trend. In such a setting, often encountered in practice, the limiting distributions and critical values provided for and applied with the situation 'with intercept only' are not correct. It is demonstrated that their usage results in size distortions growing with the panel size N. Moreover, we show which are the appropriate distributions, and how correct critical values can be obtained from the literature.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 4 ; Year: 2016 ; Issue: 4 ; Pages: 1-16 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
• Subject: single-equations ; large N asymptotics ; integrated series with drift

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Hassler, Uwe ; Hosseinkouchack, Mehdi
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2016

Further information

• DOI: doi:10.3390/econometrics4040045
• Handle: http://hdl.handle.net/10419/171894
• Last update: 10.03.2025, 11:43 AM CET