Critical values for cointegration tests in heterogeneous panels with multiple regressors

被引：0

作者：

Pedroni, P ^{[1
]}

机构：

[1] Indiana Univ, Bloomington, IN 47405 USA

来源：

OXFORD BULLETIN OF ECONOMICS AND STATISTICS | 1999年 / 61卷

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Asymptotic distributions and critical values are computed for several residual-based tests of the null of no cointegration in panels for the case of multiple regressors, including regressions with individual-specific fixed effects and time trends. The associated cointegrating vectors and the dynamics of the underlying error processes are permitted considerable heterogeneity across individual members of the panel.

引用

页码：653 / 670

页数：18

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