PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS

By P. Pedroni. Econometric Theory, 2004

6,306 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9df3fa41c709352260804d322fdace8a1035fe5b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

Energy and Ecological Sustainability: Challenges and Panoramas in Belt and Road Initiative Countries (2018, methodology): “The panel cointegration tests devised by [64,65] have been utilized to gauge the stationarity position between the variables as employed by [56,68–70].”
Testing for error correction in panel data (2006, positive): “In particular, given that the regressors are weakly exogenous with respect to the parameters of interest, we ﬁnd that the new tests show both better size accuracy and higher power than the residual-based tests recently developed by Pedroni (2004).”
The impact of government expenditure on the environment: An empirical investigation (2012, neutral): “However, in terms of raw power of the statistics for relatively small values of T the rho and panel-v statistics are the most conservative and show a tendency to over-reject (Pedroni, 2004), suggesting that evidence of cointegration is even stronger than that depicted in Table 3.”
Electricity consumption in G7 countries: A panel cointegration analysis of residential demand elasticities (2007, methodology): “If each variable is integrated of order one, we test for panel cointegration using the test of Pedroni (2004) that allows for heterogeneity in the intercepts and slopes of the cointegrating equation.”
Renewable energy consumption and economic growth nexus: Evidence from a threshold model (2020, methodology): “Panel cointegration tests Given the existence of cross-sectional dependence in all samples for all variables, the co- integration tests of Pedroni (1999, 2004) are invalid.”
How does tourism development affect environmental pollution? (2021, methodology): “The tests used by Kao (1999), Pedroni (2004), and Westerlund (2007) have been conducted for panel co-integration.”
The influence of economic growth, urbanization, trade openness, financial development, and renewable energy on pollution in Europe (2015, methodology): “This study used the Pedroni (1999, 2004) cointegration test which is based on the Engle and Granger (1987) cointegration test that explain whether the residual of each variable is stationary at level which means that the variables are cointegrated, or I(1) which indicates that the variables are not…”
A Panel Data Investigation of Real Exchange Rate Misalignment and Growth (2012, positive): “Finally, we can say that our results are in accordance with recent studies such as Rodrik (2008) and Berg and Miao (2010) regardless of the fact that different model specifications and samples are used.”