We develop asieve bootstrap range test for poolability of cointegrating regressions in dependent panels and evaluate by simulation its performances. The test seems to have good size and power properties even with small cross-sections, moderate time samples, and low heterogeneity. © 2012 Elsevier B.V.

A simple sieve bootstrap range test for poolability in dependent cointegrated panels

DI IORIO, FRANCESCA;
2012

Abstract

We develop asieve bootstrap range test for poolability of cointegrating regressions in dependent panels and evaluate by simulation its performances. The test seems to have good size and power properties even with small cross-sections, moderate time samples, and low heterogeneity. © 2012 Elsevier B.V.
File in questo prodotto:
File Dimensione Formato  
Di Iorio_fachin_econ-letters_2012.pdf

non disponibili

Tipologia: Documento in Post-print
Licenza: Accesso privato/ristretto
Dimensione 190.67 kB
Formato Adobe PDF
190.67 kB Adobe PDF   Visualizza/Apri   Richiedi una copia

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11588/427085
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 1
  • ???jsp.display-item.citation.isi??? 1
social impact