Regression modelEconometrics / time series

Panel Johansen Cointegration Test

The Panel Johansen cointegration test extends Johansen's maximum-likelihood framework to panel data, allowing researchers to test whether multiple non-stationary variables share long-run equilibrium relationships across cross-sectional units. It pools the likelihood-ratio statistics from individual Johansen tests and compares the standardised average against a standard normal distribution, yielding greater power than single-country approaches.

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Sources

  1. Larsson, R., Lyhagen, J., & Lothgren, M. (2001). Likelihood-based cointegration tests in heterogeneous panels. Econometrics Journal, 4(1), 109–142. DOI: 10.1111/1368-423X.00059
  2. Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551–1580. DOI: 10.2307/2938278

Related methods

Referenced by

ScholarGatePanel Johansen Cointegration (Panel Johansen Cointegration Test). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/panel-johansen-cointegration