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A Panel Bounds Testing Procedure

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62
Author
Georgios Bertsatos Plutarchos Sakellaris Mike Tsionas
Category
Quantitative
Date Posted
2022/03/23
Date Retrieved
2022/05/12
Date Revised
Empty
Date Written
2022/03/23
Description
We propose a bounds testing procedure (BTP) with a battery of tests for the existence of a non-degenerate co-integrating relationship in levels for long panels. It is a natural extension to panel data of the respective approach in time series as described by Pesaran Shin and Smith (2001) and extended by Bertsatos Sakellaris and Tsionas (2022). Simulations suggest that standard inference is not valid for at least one of the tests in our proposed panel BTP. Codes that generate sample-specific critical values are also provided.
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JEL Classifications
C12 C21 C22 C23
Keywords
Bounds Testing Procedure Conditional Quantile Regressions Fixed Effects Panel Co-integration
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Pages
49
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URL
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4064916
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