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Cited by 6,669

The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.

PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

Pedroni, Peter·2004·Econometric Theory
DOI 10.1017/s0266466604203073
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Abstract

We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel. The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests. We derive limiting distributions for these and show that they are normal and free of nuisance parameters. We also provide Monte Carlo evidence to demonstrate their small sample size and power performance, and we illustrate their use in testing purchasing power parity for the post–Bretton Woods period.I thank Rich Clarida, Bob Cumby, Mahmoud El-Gamal, Heejoon Kang, Chiwha Kao, Andy Levin, Klaus Neusser, Masao Ogaki, David Papell, Pierre Perron, Abdel Senhadji, Jean-Pierre Urbain, Alan Taylor, and three anonymous referees for helpful comments on various earlier versions of this paper. The paper has also benefited from presentations at the 1994 North American Econometric Society Summer Meetings in Quebec City, the 1994 European Econometric Society Summer Meetings in Maastricht, and workshop seminars at the Board of Governors of the Federal Reserve, INSEE-CREST Paris, IUPUI, Ohio State, Purdue, Queens University Belfast, Rice University–University of Houston, and Southern Methodist University. Finally, I thank the following students who provided assistance in the earlier stages of the project: Younghan Kim, Rasmus Ruffer, and Lining Wan.

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Show all 3 references

Research works printed but not linked: 26

  1. Pedroni, 2000, Advances in Econometrics, 15, 93, 10.1016/S0731-9053(00)15004-2 · DOI · Paper page
  2. 10.1162/003465301753237803 · DOI · Paper page
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  6. 10.2307/1913103 · DOI · Paper page
  7. 10.1016/0304-4076(93)01589-E · DOI
  8. 10.1016/0304-4076(94)01696-8 · DOI · Paper page
  9. 10.1111/1368-423X.00108 · DOI · Paper page
  10. 10.1214/aos/1176348666 · DOI · Paper page
  11. 10.1111/1468-0084.61.s1.12 · DOI
  12. 10.1093/biomet/75.2.335 · DOI · Paper page
  13. Baltagi, 2000, Advances in Econometrics, 15, 7, 10.1016/S0731-9053(00)15002-9 · DOI · Paper page
  14. 10.2307/2938339 · DOI · Paper page
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  17. 10.1111/1468-0262.00070 · DOI · Paper page
  18. Park, 1988, Econometric Theory, 4, 468, 10.1017/S0266466600013402 · DOI · Paper page
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  26. Perron, 1991, Econometric Theory, 7, 341, 10.1017/S0266466600004503 · DOI

Cited by

Metadata

Authors
Pedroni, P.
Venue
Econometric Theory
Publisher
Cambridge University Press (CUP)
Published
2004-06
Volume
20
Issue
03
ISSN
  • 0266-4666 (ISSN-L)
  • 1469-4360
DOI
10.1017/s0266466604203073
OpenAlex
W2124884000
Cited by
6,669
References
3
FWCI
206.24
Type
journal article
Language
en
Open access
closed

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