We develop a sieve bootstrap range test for poolability of cointe- grating regressions in dependent panels and evaluate by simulation its performances. The test, although slightly undersized, appears to have high power even under low or minimum heterogeneity
A sieve bootstrap range test for poolability in dependent cointegrated panels / DI IORIO, Francesca; Fachin, S.. - (2011). (Intervento presentato al convegno Conference in Honour of Professor Hashem Pesaran tenutosi a Trinity College Cambridge University, Cambridge (UK) nel 1-2 Luglio 2011).
A sieve bootstrap range test for poolability in dependent cointegrated panels
DI IORIO, FRANCESCA;
2011
Abstract
We develop a sieve bootstrap range test for poolability of cointe- grating regressions in dependent panels and evaluate by simulation its performances. The test, although slightly undersized, appears to have high power even under low or minimum heterogeneityFile in questo prodotto:
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