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https://doi.org/10.5089/9781513509877.001

has been cited by the following article:

• TITLE: A Panel Bounds Testing Procedure

  AUTHORS: Georgios Bertsatos, Plutarchos Sakellaris, Mike Tsionas

  KEYWORDS: Banks, Bounds Testing Procedure, Co-Integration, Fixed Effects

  JOURNAL NAME: Theoretical Economics Letters, Vol.13 No.7, December 29, 2023

  ABSTRACT: We propose a bounds testing procedure (BTP) with a battery of tests for the existence of a non-degenerate co-integrating relationship in levels, for long panels. It is a natural extension to panel data of the respective approach in time series by Pesaran, Shin, and Smith (2001) and extended by Bertsatos, Sakellaris, and Tsionas (2022). Simulations suggest that standard inference is not valid for at least one of the tests in our proposed panel BTP. A computer code that generates sample-specific critical values is provided. We demonstrate the proposed BTP by applying alternative model specifications for systemic banks’ market value of equity and extending Rhodes-Kropf, Robinson, and Viswanathan (2005).