We address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an empirically important alternative to asymptotic methods based on the estimation of common factors. Potential extensions include test for cointegration allowing for a break in the cointegrating coefficients at an unknown date.

A residual-based bootstrap test for panel cointegration / DI IORIO, Francesca; S., Fachin. - In: ECONOMICS BULLETIN. - ISSN 1545-2921. - ELETTRONICO. - 29:4(2009), pp. 3222-3232.

A residual-based bootstrap test for panel cointegration

DI IORIO, FRANCESCA;
2009

Abstract

We address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an empirically important alternative to asymptotic methods based on the estimation of common factors. Potential extensions include test for cointegration allowing for a break in the cointegrating coefficients at an unknown date.
2009
A residual-based bootstrap test for panel cointegration / DI IORIO, Francesca; S., Fachin. - In: ECONOMICS BULLETIN. - ISSN 1545-2921. - ELETTRONICO. - 29:4(2009), pp. 3222-3232.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/360924
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