Error Correction Testing in Panels with Common Stochastic Trends
Journal of Applied Econometrics
Published online on July 14, 2015
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.