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PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
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Journal Article
PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
2004
Overview
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.I thank
Rich Clarida, Bob Cumby, Mahmoud El-Gamal, Heejoon Kang, Chiwha Kao, Andy
Levin, Klaus Neusser, Masao Ogaki, David Papell, Pierre Perron, Abdel
Senhadji, Jean-Pierre Urbain, Alan Taylor, and three anonymous referees for
helpful comments on various earlier versions of this paper. The paper has
also benefited from presentations at the 1994 North American Econometric
Society Summer Meetings in Quebec City, the 1994 European Econometric
Society Summer Meetings in Maastricht, and workshop seminars at the Board
of Governors of the Federal Reserve, INSEE-CREST Paris, IUPUI, Ohio State,
Purdue, Queens University Belfast, Rice University–University of
Houston, and Southern Methodist University. Finally, I thank the following
students who provided assistance in the earlier stages of the project:
Younghan Kim, Rasmus Ruffer, and Lining Wan.
Publisher
Cambridge University Press
Subject
