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Simple tests for cointegration in panels with structural breaks

Gutierrez, Luciano (2010) Simple tests for cointegration in panels with structural breaks. Applied Economics Letters, Vol. 17 (2), p. 197-200. eISSN 1466-4291. Article.

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DOI: 10.1080/13504850701720049

Abstract

In the article we propose new panel cointegration tests which allow for structural breaks. We show that the panel tests have good size and power. We apply the test statistics to the analysis of the Feldstein-Horioka puzzle for a sample of 16 OCDE countries. After allowing for breaks, we find strong evidence that investment and saving rates are cointegrated.

Item Type:Article
ID Code:3378
Status:Published
Refereed:Yes
Uncontrolled Keywords:Structural breaks, panel cointegration tests, statistics
Subjects:Area 07 - Scienze agrarie e veterinarie > AGR/01 Economia ed estimo rurale
Divisions:001 Università di Sassari > 01 Dipartimenti > Economia e sistemi arborei
Publisher:Routledge
eISSN:1466-4291
Deposited On:13 Jan 2010 11:53

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