Nonlinear error correction based cointegration test in panel data

- A nonlinear ECM based cointegration test is proposed.
- The proposed test is the first nonlinear error correction based test in the panel cointegration literature.
- The nonlinear ECM with logistic transition functions implies asymmetric adjustment.
- This study utilizes a sieve bootstrap method for cross-section dependency problem.
- Simulation results confirm the superiority of the nonlinear ECM-based test in finite samples performance.

We propose a nonlinear error correction-based cointegration test in a panel data setting and provide their small sample properties.