A sieve bootstrap range test for poolability in dependent cointegrated panels

We develop a sieve bootstrap range test for poolability of cointegrating regressions in dependent panels and evaluate by simulation its performances. Although slightly undersized the test has good power even when only a single unit of the panel is heterogenous.

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Year of publication:	2011-07
Authors:	Di Iorio, Francesca ; Fachin, Stefano
Institutions:	Dipartimento di Scienze Statistiche, Facoltà di Scienze Statistiche
Subject:	Poolability \| Panel cointegration \| sieve bootstrap

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Extent:	application/pdf
Series:	DSS Empirical Economics and Econometrics Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 2011/2 11 pages
Classification:	C23 - Models with Panel Data ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; E2 - Consumption, Saving, Production, Employment, and Investment
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010533584