Abstract #300089

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JSM 2003 Abstract #300089
Activity Number: 314
Type: Invited
Date/Time: Wednesday, August 6, 2003 : 8:30 AM to 10:20 AM
Sponsor: Business & Economics Statistics Section
Abstract - #300089
Title: Cointegration Tests for Cross-Sectionally Correlated Panels with Nearly I(1) Regressors
Author(s): In Choi*+
Companies: Hong Kong University of Science and Technology
Address: Dept. of Econ., HKUST, Kowloon, , , Hong Kong
Keywords: cointegration ; panel data ; combination test ; Instrumental variables
Abstract:

This paper develops cointegration tests for cross-sectionally correlated panels with endogenous, nearly I(1) regressors. The cross-sectional correlations for the regressors and error terms are modeled by time effect variables embedded in error-component models. The individual and time effect variables are eliminated by time series demeaning/detrending and cross-sectional demeaning. The test statistics we propose are formulated by combining p-values of Choi and Ahn's (1999) tests for the null of stationarity applied to residuals of each time series. The residuals are obtained by using the Within-IV estimation. The combination tests have a standard normal limiting distribution. Simulation results show that these tests have reasonably good size and power properties.

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