<p></p><p></p><p><strong><em>Comparison of Panel Cointegration Tests</em></strong></p><p><br/>Deniz Dilan Karaman &Ouml;rsal<br/><br/><strong>Abstract</strong><br/>The main aim of this paper is to compare the size and size-adjusted power properties of four<br/>residual-based and one maximum-likelihood-based panel cointegration tests with the help of<br/>Monte Carlo simulations. In this study the panel-rho, the group-rho, the parametric panel-t,<br/>the parametric group-t statistics of Pedroni(1999} and the standardized LR-bar statistic of<br/>Larsson et al.(2001} are considered. The simulation results indicate that the panel-t and the<br/>standardized LR-bar statistic have the best size and power properties among the five panel<br/>cointegration test statistics evaluated.</p><p></p><br/>