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Christian Gengenbach
;
Jean-Pierre Urbain
;
Joakim Westerlund

error correction testing in panels with common stochastic trends (replication data)

This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples.

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Gengenbach, Christian; Urbain, Jean-Pierre; Westerlund, Joakim (2016): Error Correction Testing in Panels with Common Stochastic Trends (replication data). Version: 1. Journal of Applied Econometrics. Dataset. https://doi.org/10.15456/jae.2022326.0659757088

Related Publication

Gengenbach, C., Urbain, J. and Westerlund, J. (2016), Error Correction Testing In Panels With Common Stochastic Trends, Journal of Applied Econometrics, 31(6), 982-1004. https://doi.org/10.1002/jae.2475

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