Abstract
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. Copyright © 2015 John Wiley & Sons, Ltd.
Cite
CITATION STYLE
APA
Gengenbach, C., Urbain, J. P., & Westerlund, J. (2016). Error Correction Testing in Panels with Common Stochastic Trends. Journal of Applied Econometrics, 31(6), 982–1004. https://doi.org/10.1002/jae.2475
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