Comparison of Panel Cointegration Tests

IF 0.6 Q3 Economics, Econometrics and Finance

Economics Bulletin Pub Date : 2007-05-18 DOI:10.18452/4048

D. K. Örsal

引用次数: 72

Abstract

The main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t, the parametric group-t statistics of Pedroni(1999} and the standardized LR-bar statistic of Larsson et al.(2001} are considered. The simulation results indicate that the panel-t and the standardized LR-bar statistic have the best size and power properties among the five panel cointegration test statistics evaluated.

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面板协整检验比较

本文的主要目的是利用蒙特卡罗模拟比较四种基于残差的面板协整检验和一种基于最大似然的面板协整检验的尺寸和尺寸调整功率特性。本研究考虑了Pedroni(1999)的panel-rho、group-rho、参数panel-t、参数group-t统计量和Larsson等(2001)的标准化LR-bar统计量。仿真结果表明，在评估的5种面板协整检验统计量中，panel-t和标准化LR-bar统计量具有最佳的尺寸和功率特性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Bulletin ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

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