Simple Tests for Cointegration in Dependent Panels with Structural Breaks
Author
Suggested Citation
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- Joakim Westerlund & David L. Edgerton, 2008. "A Simple Test for Cointegration in Dependent Panels with Structural Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 665-704, October.
References listed on IDEAS
- John Y. Campbell & Pierre Perron, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots,"
NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220,
National Bureau of Economic Research, Inc.
- Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- Joakim Westerlund, 2006.
"Testing for Panel Cointegration with Multiple Structural Breaks,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(1), pages 101-132, February.
- Westerlund, Joakim, 2005. "Testing for Panel Cointegration with Multiple Structural Breaks," Working Papers 2005:12, Lund University, Department of Economics.
- Pedroni, Peter, 2004.
"Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis,"
Econometric Theory, Cambridge University Press, vol. 20(3), pages 597-625, June.
- Peter Pedroni, 2004. "Panel Cointegration: Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis," Department of Economics Working Papers 2004-15, Department of Economics, Williams College.
- Groen, Jan J J & Kleibergen, Frank, 2003.
"Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 295-318, April.
- Jan J.J. Groen & Frank R. Kleibergen, 1999. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," Tinbergen Institute Discussion Papers 99-055/4, Tinbergen Institute.
- Joakim Westerlund, 2005.
"A Panel CUSUM Test of the Null of Cointegration,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 231-262, April.
- Westerlund, Joakim, 2003. "A Panel CUSUM Test of the Null of Cointegration," Working Papers 2003:15, Lund University, Department of Economics.
- Zivot, Eric & Andrews, Donald W K, 2002.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
- Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-270, July.
- Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
- Tom Doan, "undated". "ZIVOT: RATS procedure to perform Zivot-Andrews Unit Root Test," Statistical Software Components RTS00236, Boston College Department of Economics.
- Haug, Alfred A., 1996.
"Tests for cointegration a Monte Carlo comparison,"
Journal of Econometrics, Elsevier, vol. 71(1-2), pages 89-115.
- Haug, A.A., 1992. "Tests for Cointegration: A Monte Carlo Comparison," Papers 93-2, York (Canada) - Department of Economics.
- Jushan Bai & Serena Ng, 2004.
"A PANIC Attack on Unit Roots and Cointegration,"
Econometrica, Econometric Society, vol. 72(4), pages 1127-1177, July.
- Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive 469, The Johns Hopkins University,Department of Economics.
- Jushan Bai & Serena Ng, 2001. "A PANIC Attack on Unit Roots and Cointegration," Boston College Working Papers in Economics 519, Boston College Department of Economics.
- Joakim Westerlund & David L. Edgerton, 2007.
"New Improved Tests for Cointegration with Structural Breaks,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 28(2), pages 188-224, March.
- Westerlund, Joakim & Edgerton , David, 2006. "New Improved Tests for Cointegration with Structural Breaks," Working Papers 2006:3, Lund University, Department of Economics.
- Banerjee, Anindya & Carrion-i-Silvestre, Josep Lluís, 2006.
"Cointegration in panel data with breaks and cross-section dependence,"
Working Paper Series
591, European Central Bank.
- Anindya Banerjee & Josep Lluis Carrion-i-Silvestre, 2011. "Cointegration in Panel Data with Breaks and Cross-section Dependence," Discussion Papers 11-25, Department of Economics, University of Birmingham.
- Anindya Banerjee & Josep Lluís Carrion-i-Silvestre, 2006. "Cointegration in Panel Data with Breaks and Cross-Section Dependence," Economics Working Papers ECO2006/5, European University Institute.
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Amsler, Christine & Lee, Junsoo, 1995. "An LM Test for a Unit Root in the Presence of a Structural Change," Econometric Theory, Cambridge University Press, vol. 11(2), pages 359-368, February.
- Bai, Jushan, 1997.
"Estimating Multiple Breaks One at a Time,"
Econometric Theory, Cambridge University Press, vol. 13(3), pages 315-352, June.
- Jushan Bai, 1995. "Estimating Multiple Breaks One at a Time," Working papers 95-18, Massachusetts Institute of Technology (MIT), Department of Economics.
- Joakim Westerlund, 2005.
"New Simple Tests for Panel Cointegration,"
Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 297-316.
- Westerlund, Joakim, 2005. "New Simple Tests for Panel Cointegration," Working Papers 2005:8, Lund University, Department of Economics.
- Papell, David H., 2002.
"The great appreciation, the great depreciation, and the purchasing power parity hypothesis,"
Journal of International Economics, Elsevier, vol. 57(1), pages 51-82, June.
- David Papell, 1998. "The Great Appreciation, the Great Depreciation, and the Purchasing Power Parity Hypothesis," Working Papers 30, Oesterreichische Nationalbank (Austrian Central Bank).
- Rolf Larsson & Johan Lyhagen & Mickael Lothgren, 2001.
"Likelihood-based cointegration tests in heterogeneous panels,"
Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-41.
- Larsson, Rolf & Lyhagen, Johan & Löthgren, Mickael, 1998. "Likelihood-Based Cointegration Tests in Heterogeneous Panels," SSE/EFI Working Paper Series in Economics and Finance 250, Stockholm School of Economics, revised 27 Aug 1998.
- Peter Pedroni, 1999.
"Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 653-670, November.
- Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Department of Economics Working Papers 2000-02, Department of Economics, Williams College.
- Suzanne McCoskey & Chihwa Kao, 1998.
"A residual-based test of the null of cointegration in panel data,"
Econometric Reviews, Taylor & Francis Journals, vol. 17(1), pages 57-84.
- Chihwa Kao & Suzanne McCoskey, 1997. "A Residual-Based Test Of The Null Of Cointegration In Panel Data," Econometrics 9711002, University Library of Munich, Germany.
- Hegwood, Natalie D & Papell, David H, 1998. "Quasi Purchasing Power Parity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(4), pages 279-289, October.
- Peter C. B. Phillips & Hyungsik R. Moon, 1999.
"Linear Regression Limit Theory for Nonstationary Panel Data,"
Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
- Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers 1222, Cowles Foundation for Research in Economics, Yale University.
- Harris, David & Leybourne, Stephen & McCabe, Brendan, 2005. "Panel Stationarity Tests for Purchasing Power Parity With Cross-Sectional Dependence," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 395-409, October.
- Josep Lluís Carrion-i-Silvestre & Tomás del Barrio-Castro & Enrique López-Bazo, 2005.
"Breaking the panels: An application to the GDP per capita,"
Econometrics Journal, Royal Economic Society, vol. 8(2), pages 159-175, July.
- Josep Lluis Carrion Silvestre & Tomas del Barrio Castro & Enrique Lopez Bazo, 2003. "Breaking the panels. An application to the GDP per capita," Working Papers in Economics 97, Universitat de Barcelona. Espai de Recerca en Economia.
- repec:bla:obuest:v:61:y:1999:i:0:p:653-70 is not listed on IDEAS
- Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-287, August.
- Westerlund, Joakim, 2006. "Testing for panel cointegration with a level break," Economics Letters, Elsevier, vol. 91(1), pages 27-33, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- In Choi, 2012. "Panel Cointegration," Working Papers 1208, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Frauke Dobnik, 2011. "Energy Consumption and Economic Growth Revisited: Structural Breaks and Cross-section Dependence," Ruhr Economic Papers 0303, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- repec:zbw:rwirep:0303 is not listed on IDEAS
- Dobnik, Frauke, 2011. "Energy Consumption and Economic Growth Revisited: Structural Breaks and Cross-section Dependence," Ruhr Economic Papers 303, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- António Afonso & Christophe Rault, 2010.
"What do we really know about fiscal sustainability in the EU? A panel data diagnostic,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(4), pages 731-755, January.
- António Afonso & Christophe Rault, 2007. "What We Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Working Papers Department of Economics 2007/20, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Antonio Afonso & Christophe Rault, 2008. "What do we Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Post-Print halshs-00363690, HAL.
- António AFONSO & Christophe RAULT, 2008. "What do we Really Know About Fiscal Sustainability in the EU? A Panel Data Diagnostic," EcoMod2008 23800000, EcoMod.
- Antonio Afonso & Christophe Rault, 2008. "What do we Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Post-Print halshs-00363685, HAL.
- Antonio Afonso & Christophe Rault, 2008. "What do we Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Post-Print halshs-00202799, HAL.
- Christophe Rault & Antonio Alfonso, 2007. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," William Davidson Institute Working Papers Series wp893, William Davidson Institute at the University of Michigan.
- António AFONSO & Christophe RAULT, 2008. "What do we Really Know about Fiscal Sustainability in the EU ? A Panel Data Diagnostic," LEO Working Papers / DR LEO 1757, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Afonso, António & Rault, Christophe, 2007. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," Working Paper Series 820, European Central Bank.
- António Afonso & Christophe Rault, 2008. "What do we really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," CESifo Working Paper Series 2226, CESifo.
- António Afonso & Christophe Rault, 2007. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," Working Papers hal-00322091, HAL.
- Antonio Afonso & Christophe Rault, 2008. "What do we Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Post-Print halshs-00363683, HAL.
- Breitung, Jörg & Pesaran, Mohammad Hashem, 2005.
"Unit roots and cointegration in panels,"
Discussion Paper Series 1: Economic Studies
2005,42, Deutsche Bundesbank.
- Joerg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," CESifo Working Paper Series 1565, CESifo.
- Jörg Breitung & M. Hashem Pesaran, 2005. "Unit Roots and Cointegration in Panels," IEPR Working Papers 05.32, Institute of Economic Policy Research (IEPR).
- Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge.
- Joakim Westerlund, 2007.
"Testing for Error Correction in Panel Data,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 709-748, December.
- Westerlund, Joakim, 2005. "Testing for Error Correction in Panel Data," Working Papers 2005:11, Lund University, Department of Economics.
- Westerlund, J., 2006. "Testing for error correction in panel data," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Martin Wagner & Jaroslava Hlouskova, 2010.
"The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study,"
Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 182-223, April.
- Wagner, Martin & Hlouskova, Jaroslava, 2007. "The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study," Economics Series 210, Institute for Advanced Studies.
- Westerlund, Joakim & Edgerton , David, 2005. "Panel Cointegration Tests with Deterministic Trends and Structural Breaks," Working Papers 2005:42, Lund University, Department of Economics.
- Kaddour Hadri & Eiji Kurozumi & Yao Rao, 2015.
"Novel panel cointegration tests emending for cross‐section dependence with N fixed,"
Econometrics Journal, Royal Economic Society, vol. 18(3), pages 363-411, October.
- Hadri, Kaddour & Kurozumi, Eiji & 黒住, 英司 & Rao, Yao, 2013. "Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed," Discussion Papers 2013-12, Graduate School of Economics, Hitotsubashi University.
- Kaddour Hadri & Eiji Kurozumi & Yao Rao, 2014. "Novel Panel Cointegration Tests Emending for Cross-Section Dependence with N Fixed," Economics Working Papers 14-02, Queen's Management School, Queen's University Belfast.
- Valérie Mignon & Christophe Hurlin, 2007.
"Une synthèse des tests de cointégration sur données de panel,"
Économie et Prévision, Programme National Persée, vol. 180(4), pages 241-265.
- Christophe Hurlin & Valérie Mignon, 2007. "Une synthèse des tests de cointégration sur données de Panel," Economie & Prévision, La Documentation Française, vol. 0(4), pages 241-265.
- Christophe Hurlin & Valérie Mignon, 2006. "Une synthèse des tests de cointégration sur données de panel," Working Papers halshs-00070887, HAL.
- Christophe Hurlin, 2007. "Une Synthèse des Tests de Cointégration sur Données de Panel," Post-Print halshs-00270210, HAL.
- Christophe HURLIN & V. MIGNON, 2006. "Une synthèse des tests de co-intégration sur données de panel," LEO Working Papers / DR LEO 1724, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Joakim Westerlund, 2008.
"Panel cointegration tests of the Fisher effect,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
- Westerlund, J., 2006. "Panel cointegration tests of the Fisher effect," Research Memorandum 054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Nizar Harrathi & Ahmed Almohaimeed, 2022. "Determinants of Carbon Dioxide Emissions: New Empirical Evidence from MENA Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 469-482.
- Joakim Westerlund & David L. Edgerton, 2007.
"New Improved Tests for Cointegration with Structural Breaks,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 28(2), pages 188-224, March.
- Westerlund, Joakim & Edgerton , David, 2006. "New Improved Tests for Cointegration with Structural Breaks," Working Papers 2006:3, Lund University, Department of Economics.
- Francesca Iorio & Stefano Fachin, 2014.
"Savings and investments in the OECD: a panel cointegration study with a new bootstrap test,"
Empirical Economics, Springer, vol. 46(4), pages 1271-1300, June.
- Francesca Di Iorio & Stefano Fachin, 2012. "Savings and Investments in the OECD: a panel cointegration study with a new bootstrap test," DSS Empirical Economics and Econometrics Working Papers Series 2012/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
- António Afonso & Christophe Rault, 2008.
"Budgetary and External Imbalances Relationship : a Panel Data Diagnostic,"
Working Papers Department of Economics
2008/45, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- António Afonso & Christophe Rault, 2009. "Budgetary and External Imbalances Relationship: A Panel Data Diagnostic," CESifo Working Paper Series 2559, CESifo.
- Afonso, António & Rault, Christophe, 2008. "Budgetary and external imbalances relationship: a panel data diagnostic," Working Paper Series 961, European Central Bank.
- António AFONSO & Christophe RAULT, 2010. "Budgetary and External Imbalances Relationship: a Panel Data Diagnostic," LEO Working Papers / DR LEO 283, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- Antonio Afonso & Christophe Rault, 2008. "Budgetary and External Imbalances Relationship: a Panel Data Diagnostic," Post-Print halshs-00364576, HAL.
- Acikgoz, Senay & Ben Ali, Mohamed Sami, 2019. "Where does economic growth in the Middle Eastern and North African countries come from?," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 172-183.
- Mohamed El Hédi Arouri & Christophe Rault, 2010.
"Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe,"
Revue économique, Presses de Sciences-Po, vol. 61(5), pages 945-959.
- Mohamed El Hedi Arouri & Christophe Rault, 2010. "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Working Papers hal-00507825, HAL.
- Christian Gengenbach & Franz C. Palm & Jean‐Pierre Urbain, 2006. "Cointegration Testing in Panels with Common Factors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 683-719, December.
- El-Shazly, Alaa, 2016. "Structural breaks and monetary dynamics: A time series analysis," Economic Modelling, Elsevier, vol. 53(C), pages 133-143.
- Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
More about this item
Keywords
Panel Cointegration; Cointegration Test; Structural Break; Cross-Sectional Dependence; Common Factor;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-05-13 (Econometrics)
- NEP-ETS-2006-05-13 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:lunewp:2006_013. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Iker Arregui Alegria (email available below). General contact details of provider: https://edirc.repec.org/data/delunse.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.