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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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.
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