Template-type: ReDif-Paper 1.0
Author-Name: Westerlund Joakim 
Author-workplace-name: METEOR
Title: Testing for Error Correction in Panel Data
Abstract: This paper proposes new error correction based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values are provided. Our simulation results suggest that the tests have good small-sample properties with small size distortions and high power relative to other popular residual-based panel cointegration tests. In our empirical application, we present evidence suggesting that international health care expenditures and GDP are cointegrated once the possibility of an invalid common factor restriction has been accounted for.
Keywords: econometrics; 
Series: Research Memoranda
Creation-Date: 2006
Number: 056
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:984886be-f84e-4507-bf21-41e768ef6a3c/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 360912
Handle: RePEc:unm:umamet:2006056