Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
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Publication:5263976
DOI10.1080/02331888.2013.874426zbMATH Open1367.62147OpenAlexW2077256899MaRDI QIDQ5263976FDOQ5263976
Publication date: 20 July 2015
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888.2013.874426
panel datacross-sectional dependencestationary bootstrappingcointegration testseemingly unrelated regression estimator
Cites Work
- Cross-sectional dependence robust block bootstrap panel unit root tests
- Linear Regression Limit Theory for Nonstationary Panel Data
- A well-conditioned estimator for large-dimensional covariance matrices
- Testing for unit roots in heterogeneous panels.
- Unit root testing via the stationary bootstrap
- Bootstrapping unit root tests for integrated processes
- Bootstrapping Unit Root Tests for Autoregressive Time Series
- Testing for a unit root in time series regression
- Stationary bootstrapping for cointegrating regressions
- On bootstrapping panel factor series
- Likelihood-based cointegration tests in heterogeneous panels
- The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study
- PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
- A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
- New Simple Tests for Panel Cointegration
- A panel bootstrap cointegration test
Cited In (7)
- A bootstrap causality test for covariance stationary processes
- Stationary bootstrapping for semiparametric panel unit root tests
- Bootstrapping factor models with cross sectional dependence
- Stationary bootstrapping for cointegrating regressions
- A panel bootstrap cointegration test
- Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
- Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
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