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Deniz Dilan Karaman Örsal
 
''Comparison of Panel Cointegration Tests''
( 2008, Vol. 3 No.6 )
 
 
The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric group-t statistics of Pedroni(1999} and the standardized LR-bar statistic of Larsson et al.(2001} are considered. The simulation results indicate that the panel-t and the standardized LR-bar statistic have the best size and power properties among the five panel cointegration test statistics evaluated.
 
 
Keywords: Fisher Hypothesis
JEL: C1 - Econometric and Statistical Methods: General
 
Manuscript Received : Jan 22 2008 Manuscript Accepted : Jan 27 2008

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