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2007-05-18Buch DOI: 10.18452/4048
Comparison of Panel Cointegration Tests
dc.contributor.authorÖrsal, Deniz Dilan Karaman
dc.date.accessioned2017-06-15T23:26:34Z
dc.date.available2017-06-15T23:26:34Z
dc.date.created2007-05-31
dc.date.issued2007-05-18
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4700
dc.description.abstractThe main aim of this paper is to compare the size and size-adjusted power properties of four residual-based and one maximum-likelihood-based panel cointegration tests with the help of Monte Carlo simulations. In this study the panel-p, the group-p, the panel-t, the group-t statistics of Pedroni (1999) and the standardized LR-bar statistic of Larsson et al. (2001) are considered. The simulation results indicate that the panel-t and standardized LR-bar statistic have the best size and power properties a mong the five panel cointegration test statistics evaluated. Finally, the Fisher Hypothesis is tested with two different data sets for OECD countries. The results point out the existence of the Fisher relation.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectMonte Carlo Studyeng
dc.subjectPanel Cointegration testseng
dc.subject.ddc330 Wirtschaft
dc.titleComparison of Panel Cointegration Tests
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10077907
dc.identifier.doihttp://dx.doi.org/10.18452/4048
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages34
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue29
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

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