Summary This paper develops panel data tests for the null hypothesis of no error correction in a model with common stochastic trends. The asymptotic distributions of the new test statistics are derived and simulation results are provided to suggest that they perform well in small samples.
No takes yet. Share an insight, caveat, or question.
Gengenbach et al. (2015) studied this question.
Synapse has enriched 3 closely related papers on similar clinical questions. Consider them for comparative context: