Determination criteria in panel co-integration tests

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lnp3
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Joined: Sat Oct 01, 2011 7:28 pm

Determination criteria in panel co-integration tests

Postby lnp3 » Mon Aug 05, 2013 5:46 am

dear forum,

I have two more questions about panel co-integration test.

After doing panel unit root tests, I am conducting Pedroni's seven test statistics for identifying co-integrating relationships among non-stationary variables in their levels forms.

1) Do the variables (group object) have to pass ALL of the tests (meaning that: if prob. <0.05, there is co-integration)? or does passing the MAJORITY of the tests suffice? Let's say 4 out of 7
2) Is Pedroni test applicable to variables more than 7?

Panel co-inetgration statistics (within dimension)
Panel V
Panel P
Panel t
Panel t

Panel co-integration (between dimension)
Group rho
Group pp
Group ADF

As always, I appreciate your help on this.

best,
lp3
M.D.

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