Error Correction Testing in Panels with Common Stochastic Trends

Christian Gengenbach, Jean‐Pierre Urbain, Joakim Westerlund

Journal of Applied Econometrics · 2015 · 128 citations · 23 references

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Abstract

Summary This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples. Copyright © 2015 John Wiley & Sons, Ltd.

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