Georgios Bertsatos Plutarchos Sakellaris Mike Tsionas
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.