Di Iorio, Francesca and Fachin, Stefano (2010): Cointegration testing in dependent panels with breaks.
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In this paper we test for the existence of a long-run relationship between investment and savings (the Feldstein-Horioka puzzle) in a panel of 18 OECD countries, 1970-2007, allowing for heterogenous breaks in the coefficients. For this purpose we develop a bootstrap panel cointegration test with breaks robust to cross-section dependence. The test suggests that, even allowing for breaks in the countries where capital control regulations changed in the sample period, there is no evidence of an investment-savings long-run relationship for the panel as a whole.
|Item Type:||MPRA Paper|
|Institution:||University of Rome ”La Sapienza”|
|Original Title:||Cointegration testing in dependent panels with breaks|
|English Title:||Savings and investments in the OECD, 1970-2007: a panel cointegration test with breaks|
|Keywords:||Feldstein-Horioka Puzzle, Investment, Savings, Panel cointegration, stationary bootstrap, breaks, OECD.|
|Subjects:||C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C23 - Models with Panel Data; Longitudinal Data; Spatial Time Series
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E22 - Capital; Investment; Capacity
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C15 - Statistical Simulation Methods: General
|Depositing User:||Stefano Fachin|
|Date Deposited:||18. Nov 2010 19:42|
|Last Modified:||13. Feb 2013 02:59|
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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) [Currently Displayed]
- Testing for cointegration in dependent panels via residual-based bootstrap methods. (deposited 16. Dec 2008 07:26)