Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
Error Correction Testing in Panels with Common Stochastic Trends
Författare
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.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2016-10
Språk
Engelska
Sidor
982-1004
Publikation/Tidskrift/Serie
Journal of Applied Econometrics
Volym
31
Issue
6
Dokumenttyp
Artikel i tidskrift
Förlag
John Wiley & Sons Inc.
Ämne
- Economics
Nyckelord
- Panel cointegration
- error correction
- common factors
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0883-7252