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Une synthèse des tests de cointégration sur données de Panel

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  • Christophe Hurlin
  • Valérie Mignon

Abstract

This paper offers an overview of panel-data cointegration tests. We present the main tests based on the null hypothesis of no cointegration (Pedroni, Kao, Bai and Ng test; Groen andKleibergen test) and the McCoskey and Kaotest based on the null hypothesis of cointegration. We also discuss issues relating to the comparison of test size and power, inference, and the estimation of cointegrated systems.

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  • Christophe Hurlin & Valérie Mignon, 2007. "Une synthèse des tests de cointégration sur données de Panel," Economie & Prévision, La Documentation Française, vol. 0(4), pages 241-265.
    • Handle: RePEc:cai:ecoldc:ecop_180_0241
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