CPR Working Paper Series No. 3

A Monte Carlo Comparison of Tests for Cointegration in Panel Data

Suzanne McCoskey and Chihwa Kao

March 1999

Abstract:  This paper surveys recent developments and provides Monte Carlo comparison on various tests proposed for cointegration in panel data. In particular, tests for two panel models, varying intercepts and varying slopes and varying intercepts and common slopes, are presented from the literature with a total of seven tests being simulated. In all cases, results on empirical size and size-adjusted power are given.

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