This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small samples. An empirical application to the monetary exchange rate model is also provided. Copyright (C) 2009 John Wiley & Sons, Ltd.
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Recent empirical studies suggest that the Fisher hypothesis, stating that inflation and nominal inte...
Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest...
This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation betw...
Baltagi and Kao (2000) chronicle the emergence of panel applications of the cointegration approach. ...
This paper develops a very simple test for the null hypothesis of no cointegration in panel data. Th...
This paper develops a very simple test for the null hypothesis of no cointegration in panel data. Th...
In this paper, two new simple residual-based panel data tests are proposed for the null of no cointe...
This thesis develops new techniques for analyzing cointegrated relationships in panel data. The firs...
This paper enlarges on Karlsoon and Löthgreen’s (2000) results on panel unit root tests to panel coi...
This paper proposes a bootstrap test for the null hypothesis of cointegration in panel data. The tes...
This paper proposes a simple residual-based panel CUSUM test of the null hypothesis of cointegration...
In this paper, we propose new cointegration tests for single equations and panels. In both cases, th...
The monetary exchange rate models explain the long run behaviour of the nominal exchange rate. Their...
We propose new tests for panel cointegration by extending the panel unit root tests of choi (2001 ch...
This paper offers an overview of panel-data cointegration tests. We present the main tests based on ...
Recent empirical studies suggest that the Fisher hypothesis, stating that inflation and nominal inte...
Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest...
This paper proposes a test for the null that, in a cointegrated panel, the long-run correlation betw...
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