Reducing the size distortions of the panel LM test for cointegration

DOI10.1016/J.ECONLET.2005.09.002zbMath1255.62388OpenAlexW2066944720MaRDI QIDQ1929061

Joakim Westerlund

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.09.002

zbMATH Keywords

panel cointegrationsize distortionbonferroni inequality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (1)

A panel bootstrap cointegration test

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Automatic Lag Selection in Covariance Matrix Estimation
• A residual-based test of the null of cointegration in panel data

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