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Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors

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  • Peter Pedroni

Abstract

Asymptotic distributions and critical values are computed for several residual‐based tests of the null of no cointegration in panels for the case of multiple regressors, including regressions with individual‐specific fixed effects and time trends. The associated cointegrating vectors and the dynamics of the underlying error processes are permitted considerable heterogeneity across individual members of the panel.

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  • Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 653-670, November.
    • Handle: RePEc:bla:obuest:v:61:y:1999:i:s1:p:653-670
    DOI: 10.1111/1468-0084.0610s1653
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