Di Iorio, Francesca and Fachin, Stefano (2007): Testing for cointegration in dependent panels via residual-based bootstrap methods.
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We address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an empirically important alternative to asymptotic methods based on the estimation of common factors. Potential extensions include test for cointegration allowing for a break in the cointegrating coe¢ cients at an unknown date.
|Item Type:||MPRA Paper|
|Institution:||University of Rome ”La Sapienza”|
|Original Title:||Testing for cointegration in dependent panels via residual-based bootstrap methods|
|Keywords:||Panel Cointegration, Stationary Bootstrap, Wild Bootstrap, breaks|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C23 - Models with Panel Data; Longitudinal Data; Spatial Time Series
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
|Depositing User:||Stefano Fachin|
|Date Deposited:||16. Dec 2008 07:26|
|Last Modified:||13. Feb 2013 03:11|
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Available Versions of this Item
Cointegration testing in dependent panels with breaks. (deposited 09. May 2007)
Testing for cointegration in dependent panels via residual-based bootstrap methods. (deposited 16. Dec 2008 07:26)
- Cointegration testing in dependent panels with breaks. (deposited 18. Nov 2010 19:42)
- Testing for cointegration in dependent panels via residual-based bootstrap methods. (deposited 16. Dec 2008 07:26) [Currently Displayed]