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.

Data and Resources

Suggested Citation

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. http://dx.doi.org/10.15456/jae.2022326.0659757088