Stationary bootstrapping for panel cointegration tests under cross-sectional dependence

DOI10.1080/02331888.2013.874426zbMATH Open1367.62147OpenAlexW2077256899MaRDI QIDQ5263976FDOQ5263976

Authors Dong Wan Shin

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

zbMATH Keywords

panel datacross-sectional dependencestationary bootstrappingcointegration testseemingly unrelated regression estimator

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10)

Recommendations

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Cites work

• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• A panel bootstrap cointegration test
• A well-conditioned estimator for large-dimensional covariance matrices
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Bootstrapping unit root tests for integrated processes
• Cross-sectional dependence robust block bootstrap panel unit root tests
• Likelihood-based cointegration tests in heterogeneous panels
• Linear Regression Limit Theory for Nonstationary Panel Data
• New Simple Tests for Panel Cointegration
• On bootstrapping panel factor series
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• Stationary bootstrapping for cointegrating regressions
• Testing for a unit root in time series regression
• Testing for unit roots in heterogeneous panels.
• The performance of panel cointegration methods: results from a large scale simulation study
• Unit root testing via the stationary bootstrap

Cited in

(14)

• Testing for stationarity in heterogeneous panel data in the presence of cross-section dependence
• A simple sieve bootstrap range test for poolability in dependent cointegrated panels
• Stationary bootstrapping for cointegrating regressions
• Cross-sectional correlation robust tests for panel cointegration
• A bootstrap procedure for panel data sets with many cross-sectional units
• Bootstrapping factor models with cross sectional dependence
• The moving blocks bootstrap for panel linear regression models with individual fixed effects
• Stationary bootstrapping for semiparametric panel unit root tests
• Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• A panel bootstrap cointegration test
• On bootstrapping panel factor series
• Block bootstrapping for a panel mean break test
• A bootstrap causality test for covariance stationary processes

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