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Meta-analytic cointegrating rank tests for dependent panels

Author

Listed:
  • Deniz Dilan Karaman Örsal

    (Leuphana University Lueneburg, Germany)

  • Antonia Arsova

    (Leuphana University Lueneburg, Germany)

Abstract

This paper proposes two new panel cointegrating rank tests which are robust to cross-sectional dependency. The dependence in the data generating process is modeled using unobserved common factors. The new tests are based on a metaanalytic approach, in which the p-values of the individual likelihood-ratio (LR) type test statistics computed from defactored data are combined to develop the panel statistics. A simulation study shows that the tests have reasonable size and power properties in finite samples.

Suggested Citation

  • Deniz Dilan Karaman Örsal & Antonia Arsova, 2015. "Meta-analytic cointegrating rank tests for dependent panels," Working Paper Series in Economics 349, University of Lüneburg, Institute of Economics.
    • Handle: RePEc:lue:wpaper:349
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    References listed on IDEAS

    as
    1. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, vol. 23(1), pages 19-39, January.
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    9. repec:bla:obuest:v:61:y:1999:i:0:p:631-52 is not listed on IDEAS
    10. Carrion-i-Silvestre Josep Lluis & Surdeanu Laura, 2011. "Panel Cointegration Rank Testing with Cross-Section Dependence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(4), pages 1-43, September.
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    12. Antonia Arsova & Deniz Dilan Karaman Örsal, 2018. "Likelihood-based panel cointegration test in the presence of a linear time trend and cross-sectional dependence," Econometric Reviews, Taylor & Francis Journals, vol. 37(10), pages 1033-1050, November.
    13. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
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    17. Pentti Saikkonen & Helmut Lutkepohl, 2000. "Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(4), pages 435-456, July.
    18. G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
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    Citations

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    Cited by:

    1. Ripamonti, Alexandre, 2019. "Capital Structure Adjustments and Asymmetric Information," MPRA Paper 96936, University Library of Munich, Germany.
    2. Ripamonti, Alexandre & Silva, Diego & Moreira Neto, Eurico, 2018. "Asset Pricing and Asymmetric Information," MPRA Paper 87403, University Library of Munich, Germany.
    3. Antonia Arsova, 2019. "Exchange rate pass-through to import prices in Europe: A panel cointegration approach," Working Paper Series in Economics 384, University of Lüneburg, Institute of Economics.
    4. Rodriguez Gonzalez, Miguel & Wegener, Christoph & Basse, Tobias, 2022. "Re-investigating the insurance-growth nexus using common factors," Finance Research Letters, Elsevier, vol. 46(PA).
    5. Arsova, Antonia & Karaman Örsal, Deniz Dilan, 2021. "A panel cointegrating rank test with structural breaks and cross-sectional dependence," Econometrics and Statistics, Elsevier, vol. 17(C), pages 107-129.
    6. Antonia Arsova, 2021. "Exchange rate pass-through to import prices in Europe: a panel cointegration approach," Empirical Economics, Springer, vol. 61(1), pages 61-100, July.

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    More about this item

    Keywords

    Panel cointegration; p-value; common factors; rank test; crosssectional dependence;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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