Panel cointegration

[wyrd]

Hi there!

I have a question about the use of panelfm and pancoint.src, written by Pedroni.

After the estimation (with panelfm) you can obtain the results of Pedroni tests with pancoint.

However, I was wondering about which are the appropriate critical values to be taken into account, in 2 different respects.

1. small sample. I have a panel with N=18, T=26. How do I take into account this fact?

2. number of regressors. I have a model with two regressors and one with three. Do I have to use Table II in Pedroni 1999 (Critical values for cointegration tests in heterogeneus panels with multiple regressors)?


Thanks a lot for the help that you could give me!!!!

Simone