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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

Error Correction Testing in Panels with Common Stochastic Trends

Author

  • Christian Gengenbach
  • Jean Pierre Urbain
  • Joakim Westerlund

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