On the power of panel cointegration tests: A Monte Carlo comparison. Economics Letters, 80(1):105-111
By L. Gutierrez. 2003
186 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/f50509acddb6bb87406414712ba5e24e224febf9
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In Economics and Econometrics
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Citations in the corpus
- Unit Roots and Cointegration in Panels (2005, background): “Gutierrez (2003) compares the power of various panel cointegration test statistics.”
- Econometric Analysis of Panel Data (2020, methodology): “(2003), Harris and Tzavalis (1999), Maddala and Wu (1999), Choi (2001) and Hadri (2000).2 Exceptions are Bhargava et al.”
- Environmental Taxes and Economic Growth:Evidence from Panel Causality Tests (2014, background): “Studies such as Hamilton and Clemens (1999) suggest that ‘genuine saving’ is a useful indicator of sustainability however others like Pillarisetti (2005) argue that environmental sustainability needs to be examined in a global context and that natural capital should be treated independently of physi”
- Financial Deepening and Economic Growth Linkages: A Panel Data Analysis (2007, methodology): “19 Gutierrez (2003) shows that as T gets large, the Pedroni tests have higher power than Kao (1999) tests and both outperform the Larsson et al. (2001) LR-bar test.”
- Information and communication technology, electricity consumption and economic growth in OECD countries: a panel data analysis (2016, background): “Nevertheless, among the seven test statistics, the group rho statistic has the best power (Gutierrez, 2003), which is also greater than the critical value.”
- In search of FDI-led growth in developing countries (2008, background): “…be attributed (i) to the fact that the rejection of the null of no panel cointegration can be driven by a few cointegrated relationships (see, e.g., Gutierrez, 2003; Strauss and Wohar, 2004), and / or (ii) to a bias in the panel tests, that leads to the rejection of the null of no panel…”