A New Poolability Test for Cointegrated Panels
Journal of Applied Econometrics, Vol. 26 (1), pp. 56-88
Posted: 27 Sep 2013
Abstract
This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small samples. An empirical application to the monetary exchange rate model is also provided.
Keywords: Panel Cointegration, Pooling, Homogeneity Testing, Monetary Exchange Rate Model
JEL Classification: C12, C32, C33, F31, F41
Suggested Citation: Suggested Citation
Westerlund, Joakim and Hess, Wolfgang, A New Poolability Test for Cointegrated Panels. Journal of Applied Econometrics, Vol. 26 (1), pp. 56-88, Available at SSRN: https://ssrn.com/abstract=2331972
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