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Joakim Westerlund
;
Wolfgang Hess

a new poolability test for cointegrated panels (replication data)

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small samples. An empirical application to the monetary exchange rate model is also provided.

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Westerlund, Joakim; Hess, Wolfgang (2009): A new poolability test for cointegrated panels (replication data). Version: 1. Journal of Applied Econometrics. Dataset. https://jda-test.zbw.eu/dataset/a-new-poolability-test-for-cointegrated-panels

Related Publication

Westerlund, J. and Hess, W. (2009), A New Poolability Test For Cointegrated Panels, Journal of Applied Econometrics, 26(1), 56-88. https://doi.org/10.1002/jae.1143