Oxford bulletin of economics and statistics, 2007-12, Vol.69 (6), p.709-748
2007
Details
- Autor(en) / Beteiligte
- Titel
- Testing for Error Correction in Panel Data
- Ist Teil von
- Oxford bulletin of economics and statistics, 2007-12, Vol.69 (6), p.709-748
- Ort / Verlag
- Oxford, UK: Blackwell Publishing Ltd
- Erscheinungsjahr
- 2007
- Link zum Volltext
- Quelle
- EBSCOhost Business Source Ultimate
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0305-9049, 1468-0084eISSN: 1468-0084DOI: 10.1111/j.1468-0084.2007.00477.xTitel-ID: cdi_swepub_primary_oai_lup_lub_lu_se_699f8531_1510_4c1d_a3cc_09b5da2b9f44
- Format
- –
- Schlagworte
- C12, C32, C33, Cointegration, Cointegration analysis, Econometric models, Economics, Economics and Business, Ekonomi och näringsliv, Error correction models, Errors, GDP, Gross Domestic Product, Health care expenditures, Nationalekonomi, O30, Panel data, Research methods, Samhällsvetenskap, Significance tests, Simulation, Social Sciences, Studies