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Simple tests for cointegration in panels with structural breaks

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  • L. Gutierrez

Abstract

In the article we propose new panel cointegration tests which allow for structural breaks. We show that the panel tests have good size and power. We apply the test statistics to the analysis of the Feldstein-Horioka puzzle for a sample of 16 OCDE countries. After allowing for breaks, we find strong evidence that investment and saving rates are cointegrated.

Suggested Citation

  • L. Gutierrez, 2010. "Simple tests for cointegration in panels with structural breaks," Applied Economics Letters, Taylor & Francis Journals, vol. 17(2), pages 197-200, January.
    • Handle: RePEc:taf:apeclt:v:17:y:2010:i:2:p:197-200
    DOI: 10.1080/13504850701720049
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    Cited by:

    1. Mariam Camarero & Sergi Moliner & Cecilio Tamarit, 2022. "Which are the long-run determinants of US outward FDI? Evidence using large long-memory panels," Working Papers 2210, Department of Applied Economics II, Universidad de Valencia.
    2. Sadorsky, Perry, 2012. "Energy consumption, output and trade in South America," Energy Economics, Elsevier, vol. 34(2), pages 476-488.

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