Fractional frequency flexible Fourier form (FFFFF) for panel cointegration test

ABSTRACT

In this article, we introduce a new panel cointegration test that is robust to nonlinearity, structural breaks and cross-sectional dependency. In an empirical illustration, we tested the Feldstein–Horioka paradox for 15 Asian countries, one of the most debated topics in international macroeconomics. We find that Indonesia, Philippine, Bangladesh, Japan, Thailand and China are not among the countries generating cointegration in the cross section.

KEYWORDS:

• Feldstein–Horioka
• panel data
• smooth structural breaks
• cross-sectional dependency

JEL CLASSIFICATION:

• C10
• C23

Disclosure statement

No potential conflict of interest was reported by the authors.