We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace
tests for cointegration under the empirically relevant situation of near-integrated variables …

Simulations demonstrate that when unit‐root behavior is rejected in a Levin and Lin panel
test, it is incorrect to infer that all series are stationary. Recent tests proposed by Im, Pesaran …

The properties of the standard cross sectional test of the Law of Proportionate Effect (LPE)
are compared with those of three alternative panel unit root tests, using Monte Carlo …

We investigate the properties of Johansen's (J Econ Dyn Control 12: 231–254, 1988;
Econometrica 59: 1551–1580, 1991) maximum eigenvalue and trace tests for cointegration …

Recent years have seen growing interest in nonstationary panels. The initial main motivation
for using panel data was to increase the power of unit root tests. Levin and Linjs (1992) 1 …

This paper examines the consequences of mis-specifying the deterministic components of a
co-integration model estimated with the Johansen's multivariate maximum likelihood …

We analyze the effects of prudential regulation on short-term interest rates. The European
Market Infrastructure Regulation (EMIR) induces clearing houses (CCPs) to supply large …

This paper uses three panel unit‐root tests and finds that real per capita GDP for OECD
countries and a European subsample converge stochastically for the period 1948–87 but …

Ever since the seminal paper of Nelson and Plosser (1982), researchers have focused on
the potential nonstationarity of important macroeconomic variables, and unit root tests are …

Standard unit‐root tests are known to be biased towards the non‐rejection of a unit‐root
when they are applied to time series with non‐linear dynamics. Unfortunately, not much is …