Error Correction Testing in Panels with Common Stochastic Trends (replication data)

DOI

This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples.

Identifier
DOI https://doi.org/10.15456/jae.2022326.0659757088
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:775520
Provenance
Creator Gengenbach, Christian; Urbain, Jean-Pierre; Westerlund, Joakim
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2016
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics