Testing for Error Correction in Panel Data*
提出基于误差修正的面板协整检验，推导极限分布并给出临界值。模拟显示该检验在小样本中表现良好，实证发现国际医疗支出与GDP存在协整关系。
Abstract This paper proposes new error correction‐based cointegration tests for panel data. The limiting distributions of the tests are derived and critical values provided. Our simulation results suggest that the tests have good small‐sample properties with small size distortions and high power relative to other popular residual‐based panel cointegration tests. In our empirical application, we present evidence suggesting that international healthcare expenditures and GDP are cointegrated once the possibility of an invalid common factor restriction has been accounted for.