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

DOI10.1016/J.ECONLET.2012.02.025MaRDI QIDQ1925704zbMATH OpenOpenAlexFDO

Authors Francesca Di Iorio, Stefano Fachin

Publication date 18 December 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2012.02.025

zbMATH Keywords

sieve bootstraprangepanel cointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)

Recommendations

• A panel bootstrap cointegration test
• A nonparametric poolability test for panel data models with cross section dependence
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Cross-sectional correlation robust tests for panel cointegration
• A sieve bootstrap test for cointegration in a conditional error correction model

Cites work

• Bootstrap confidence intervals and hypothesis tests for extrema of parameters
• Bootstrapping cointegrating regressions
• Dynamic Seemingly Unrelated Cointegrating Regressions
• Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity

Cited in

(2)

• Sieve bootstrapt-tests on long-run average parameters
• A nonparametric poolability test for panel data models with cross section dependence

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