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Pedroni, Peter

Panel cointegration: asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. (English) Zbl 1059.62123

Econom. Theory 20, No. 3, 597-625 (2004).
Summary: 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.

Cited in 1 Review
Cited in 38 Documents

MSC:

62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20 Asymptotic distribution theory in statistics
65C05 Monte Carlo methods

Keywords:

purchasing power parity
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\textit{P. Pedroni}, Econom. Theory 20, No. 3, 597--625 (2004; Zbl 1059.62123)
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