Error Correction Testing in Panels with Common Stochastic Trends |
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| Authors: | Christian Gengenbach Jean‐Pierre Urbain Joakim Westerlund |
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| Institution: | 1. Department of Quantitative Economics, School of Business and Economics, Maastricht University, Netherlands;2. Department of Economics, Lund University, Sweden;3. Financial Econometrics Group, Centre for Research in Economics and Financial Econometrics, Deakin University, Australia |
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| 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. |
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