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Cited by 6,113Spatial and Panel Data AnalysisMonetary Policy and Economic ImpactEconomic Growth and Productivity

Testing for Error Correction in Panel Data*

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Westerlund, Joakim·2007·Oxford Bulletin of Economics and Statistics
DOI 10.1111/j.1468-0084.2007.00477.x
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Abstract

This paper proposes new error correction‐based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values provided. Our simulation results suggest that the tests have good small‐sample properties with small size distortions and high power relative to other popular residual‐based panel cointegration tests. In our empirical application, we present evidence suggesting that international healthcare expenditures and GDP are cointegrated once the possibility of an invalid common factor restriction has been accounted for.

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Authors
Westerlund, J.
Affiliations
Lund University (SE)
Corresponding author
Westerlund, Joakim
ORCID
Westerlund, Joakim
Venue
Oxford Bulletin of Economics and Statistics
Publisher
Wiley
Published
2007-07-25
Volume
69
Issue
6
Pages
709-748
ISSN
  • 0305-9049 (ISSN-L)
  • 1468-0084
DOI
10.1111/j.1468-0084.2007.00477.x
OpenAlex
W2147422150
Cited by
6,113
References
0
Citations by year
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FWCI
50.91
Type
journal article
Language
en
Open access
Licence
Locations
  • Oxford Bulletin of Economics and Statistics (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
  • Lund University Publications (Lund University) (submittedVersion)
  • Lund University Publications (Lund University) (submittedVersion, other-oa)
  • Research Publications (Maastricht University) (submittedVersion, other-oa)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Spatial and Panel Data Analysis
  • Social Sciences › Economics, Econometrics and Finance › General Economics, Econometrics and Finance › Monetary Policy and Economic Impact
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economic Growth and Productivity
Keywords
error correction model, panel cointegration tests, asymptotic distribution, critical values, small sample properties

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