Testing for panel cointegration in high dimensional data in the presence of cross-sectional dependency

被引：0

作者：

Mansoor, Rashid ^{[1
]}

Mansson, Kristofer ^{[2
]}

Sjolander, Par ^{[2
]}

机构：

[1] UCL, Dept Stat Sci, Gower St, London WC1E 6BT, England

[2] Jonkoping Int Business Sch, Box 1026, S-55111 Jonkoping, Sweden

来源：

INTERNATIONAL JOURNAL OF COMPUTATIONAL ECONOMICS AND ECONOMETRICS | 2021年 / 11卷 / 04期

关键词：

error correction model; panel cointegration; increasing dimension; UNIT-ROOT TESTS; ERROR-CORRECTION; POWER;

D O I：

10.1504/IJCEE.2021.118482

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper introduces some new methods to test for panel cointegration in the error correction framework. These methods are proposed since the previous approaches do not perform well when the number of cross-sectional units (N) is approximately equal to the number of time periods (T). By means of Monte Carlo simulations we investigate the size and power properties when N and T increase simultaneously, i.e., N/T -> c where 0 < c <= 1. Based on the simulated results we may recommend a test for panel cointegration in high dimensional setting with cross-sectional dependency.

引用

页码：406 / 418

页数：13

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