A recent study proposed by Westerlund (CCE in Panels with General Unknown Factors, Econometrics Journal, 21, 264 …-276, 2018) showed that a very popular Common Correlated Effects (CCE) estimator is significantly more applicable than it was … thought before. Contrary to the usual stationarity assumption, common factors can in fact be much more general and not unit …

exploiting the dependence structure between the countries with a bootstrap approach. We use a sieve bootstrap approach to account …

This paper shows how to bootstrap hypothesis tests in the context of the Parks (Efficient estimation of a system of … that the bootstrap outperforms Parks's top competitor. The Parks estimator has been a workhorse for the analysis of panel …

This paper shows how to bootstrap hypothesis tests in the context of the Parks's (1967) Feasible Generalized Least … Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)'s top competitor. The FGLS(Parks) estimator …

bootstrap, which involve the new CRVEs, jackknife-based bootstrap data-generating processes, or both. Extensive simulation …

conditional heteroskedasticity. We show that the wild bootstrap provides convenient critical values for the considered OLS …-based statistics under both homoskedastic and conditionally heteroskedastic model errors. The wild bootstrap is easy to implement and … approximations. We prove further that the wild bootstrap retains its validity for inference within a system of pooled equations …