S-WoPEc
 
Scandinavian Working Papers in Economics
HomeAboutSeriesSubject/JEL codesAdvanced Search
The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 331:
Likelihood-Based Inference in Multivariate Panel Cointegration Models

Rolf Larsson and Johan Lyhagen ()

Abstract: This paper presents a general likelihood-based framework for inference in panel-VAR models with cointegrating restrictions. The cointegrating relations are restricted to each cross-section while the rest of the model is unrestricted. The homogenous restriction of common cointegrating space is also considered. Asymptotic distributions of parameter estimates and the test statistics for the cointegrating rank and the homogenous restriction are derived. The distribution for the cointegrating rank is shown to be the convolution of the standard distribution of the trace statistic and the chi^2 distribution. The homogenous restriction test statistic is chi^2. A Monte Carlo simulation investigates the small sample properties of the two tests. The empirical size of the test for the cointegrating rank is well above the nominal. A Bartlett corrected test statistic is shown to have size very close to the nominal. We give an empirical example for a consumption model including consumption, income and inflation.

Keywords: Cointegration; Consumption; Panel data; Rank test; (follow links to similar papers)

JEL-Codes: C12; C13; C15; C22; C23; D12; (follow links to similar papers)

30 pages, September 20, 1999

Before downloading any of the electronic versions below you should read our statement on copyright.
Download GhostScript for viewing Postscript files and the Acrobat Reader for viewing and printing pdf files.

Full text versions of the paper:

hastef0331.pdf.zip    PDF-file (zipped) (271kB) 
hastef0331.pdf    PDF-file (330kB) 
hastef0331.ps    PostScript file (1.22MB) 
hastef0331.ps.zip    PKZipped PostScript (339kB) 
Files with additional material for the paper:
hastef0331.panel_coint.zip    panel_coint.zip, PKZip archive (15kB) 
Download Statistics

Questions (including download problems) about the papers in this series should be directed to Helena Lundin ()
Report other problems with accessing this service to Sune Karlsson () or Helena Lundin ().

Programing by
Design by Joachim Ekebom

Handle: RePEc:hhs:hastef:0331 This page was generated on 2014-12-14 19:22:58