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Testing for Error Correction in Panel Data

Oxford bulletin of economics and statistics, 2007-12, Vol.69 (6), p.709-748 [Peer Reviewed Journal]

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Title:
Testing for Error Correction in Panel Data
Author: Westerlund, Joakim
Subjects: C12 ; C32 ; C33 ; Cointegration ; Cointegration analysis ; Econometric models ; Economics ; Economics and Business ; Ekonomi och näringsliv ; Error correction models ; Errors ; GDP ; Gross Domestic Product ; Health care expenditures ; Nationalekonomi ; O30 ; Panel data ; Research methods ; Samhällsvetenskap ; Significance tests ; Simulation ; Social Sciences ; Studies
Is Part Of: Oxford bulletin of economics and statistics, 2007-12, Vol.69 (6), p.709-748
Description: This paper proposes new error correction‐based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values provided. Our simulation results suggest that the tests have good small‐sample properties with small size distortions and high power relative to other popular residual‐based panel cointegration tests. In our empirical application, we present evidence suggesting that international healthcare expenditures and GDP are cointegrated once the possibility of an invalid common factor restriction has been accounted for.
Publisher: Oxford, UK: Blackwell Publishing Ltd
Language: English
Identifier: ISSN: 0305-9049
ISSN: 1468-0084
EISSN: 1468-0084
DOI: 10.1111/j.1468-0084.2007.00477.x
Source: Alma/SFX Local Collection
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