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• W2252620376 abstract "While the limiting null distributions of cointegration tests are invariant to a certain amount of conditional heteroskedasticity as long as global homoskedasticity conditions are fullled, they are certainly aected when the innovations exhibit timevarying volatility. Worse yet, distortions from single units accumulate in panels, where one must anyway pay special attention to dependence among cross-sectional units, be it time-dependent or not. To obtain a panel cointegration test robust to both global heteroskedasticity and cross-unit dependence, we start by adapting the nonlinear instruments method proposed for the Dickey-Fuller test by Chang (2002, J Econometrics 110, 261{292) to an error-correction testing framework. We show that IV-based testing of the null of no error-correction in individual equations results in asymptotic standard normality of the test statistic as long as the t-type statistics are computed with White heteroskedasticity-consistent standard errors. Remarkably, the result holds even in the presence of endogenous regressors, irrespective of the number of integrated covariates, and for any variance prole. Furthermore, a test for the null of no cointegration|in eect, a joint test against no error correction in any equation of each unit|retains the nice properties of the univariate tests. In panels with xed cross-sectional dimension, both types of test statistics from individual units are shown to be asymptotically independent even in the presence of correlation or cointegration across units, leading to a panel test statistic robust to cross-unit dependence and unconditional heteroskedasticity. The tests perform well in panels of usual dimensions with innovations exhibiting variance breaks and a factor structure." @default.
• W2252620376 created "2016-06-24" @default.
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• W2252620376 creator A5032642443 @default.
• W2252620376 creator A5069063615 @default.
• W2252620376 date "2014-03-21" @default.
• W2252620376 modified "2023-09-24" @default.
• W2252620376 title "IV-BASED COINTEGRATION TESTING IN DEPENDENT PANELS WITH TIME-VARYING VARIANCE" @default.
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• W2252620376 doi "https://doi.org/10.1111/jtsa.12071" @default.
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