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Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, With an Application to the PPP Hypothesis; New Results. Working paper (1997)
| Citations: | 529 - 13 self |
BibTeX
@MISC{Pedroni97panelcointegration;,
author = {Peter Pedroni},
title = {Panel Cointegration; Asymptotic and Finite Sample Properties of Pooled Time Series Tests, With an Application to the PPP Hypothesis; New Results. Working paper},
year = {1997}
}
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Abstract
We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel+ The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests+ We derive limiting distributions for these and show that they are normal and free of nuisance parameters+ We also provide Monte Carlo evidence to demonstrate their small sample size and power performance, and we illustrate their use in testing purchasing power parity for the post–Bretton Woods period+ 1.
Keyphrases
ppp hypothesis pooled time series test finite sample property panel cointegration new result dimension test monte carlo evidence post bretton wood period dynamic panel nuisance parameter trend term long-run slope coefficient power parity short-run dynamic residual-based test individual member power performance small sample size
