Next Article in Journal
Testing Cross-Sectional Correlation in Large Panel Data Models with Serial Correlation
Next Article in Special Issue
Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions
Previous Article in Journal
Pair-Copula Constructions for Financial Applications: A Review
Article Menu

Export Article

Open AccessArticle
Econometrics 2016, 4(4), 45; doi:10.3390/econometrics4040045

Panel Cointegration Testing in the Presence of Linear Time Trends

Department of Business and Economics, Goethe University Frankfurt, Theodor-W.-Adorno-Platz 4, 60323 Frankfurt, Germany
*
Author to whom correspondence should be addressed.
Academic Editor: Katarina Juselius
Received: 15 May 2016 / Revised: 28 September 2016 / Accepted: 20 October 2016 / Published: 1 November 2016
(This article belongs to the Special Issue Recent Developments in Cointegration)
View Full-Text   |   Download PDF [301 KB, uploaded 1 November 2016]

Abstract

We consider a class of panel tests of the null hypothesis of no cointegration and cointegration. All tests under investigation rely on single-equations estimated by least squares, and they may be residual-based or not. We focus on test statistics computed from regressions with intercept only (i.e., without detrending) and with at least one of the regressors (integrated of order 1) being dominated by a linear time trend. In such a setting, often encountered in practice, the limiting distributions and critical values provided for and applied with the situation “with intercept only” are not correct. It is demonstrated that their usage results in size distortions growing with the panel size N. Moreover, we show which are the appropriate distributions, and how correct critical values can be obtained from the literature. View Full-Text
Keywords: single-equations; large N asymptotics; integrated series with drift single-equations; large N asymptotics; integrated series with drift
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Hassler, U.; Hosseinkouchack, M. Panel Cointegration Testing in the Presence of Linear Time Trends. Econometrics 2016, 4, 45.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top