New simple tests for panel cointegration

Research output: Contribution to journalArticle


In this paper, two new simple residual-based panel data tests are proposed for the null of no cointegration. The tests are simple because they do not require any correction for the temporal dependencies of the data. Yet they are able to accommodate individual specific short-run dynamics, individual specific intercept and trend terms, and individual specific slope parameters. The limiting distributions of the tests are derived and are shown to be free of nuisance parameters. The Monte Carlo results in this paper suggest that the asymptotic results are borne out well even in very small samples.


Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics


  • Monte Carlo simulation, panel cointegration, residual-based tests
Original languageEnglish
Pages (from-to)297-316
JournalEconometric Reviews
Issue number3
Publication statusPublished - 2005
Publication categoryResearch