English, Article edition: Cross-sectional correlation robust tests for panel cointegration Christoph Hanck

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Cross-sectional correlation robust tests for panel cointegration
Author
  • Christoph Hanck
Physical Description
  • article
Notes
  • We use meta-analytic procedures to develop new tests for panel cointegration, combining p-values from time-series cointegration tests on the units of the panel. The tests are robust to heterogeneity and cross-sectional dependence between the panel units. To achieve the latter, we employ a sieve bootstrap procedure with joint resampling of the units' residuals. A simulation study shows that the tests can have substantially smaller size distortion than tests ignoring the presence of cross-sectional dependence while preserving high power. We apply the tests to a panel of post-Bretton Woods data to test for weak purchasing power parity.
  • panel cointegration tests, cross-sectional dependence, sieve bootstrap,
  • RePEc:taf:japsta:v:36:y:2009:i:7:p:817-833
Language
  • English
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