Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
Error Correction Testing in Panels with Common Stochastic Trends
Author
Summary, in English
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.
Department/s
- Department of Economics
Publishing year
2016-10
Language
English
Pages
982-1004
Publication/Series
Journal of Applied Econometrics
Volume
31
Issue
6
Document type
Journal article
Publisher
John Wiley & Sons Inc.
Topic
- Economics
Keywords
- Panel cointegration
- error correction
- common factors
Status
Published
ISBN/ISSN/Other
- ISSN: 0883-7252