Advanced Search
MyIDEAS: Login to save this article or follow this journal

A residual-based bootstrap test for panel cointegration

Contents:

Author Info

  • Francesca Di Iorio

    ()
    (Dipartimento di Scienze Statistiche - Universita'' degli Studi di Napoli Federico II)

  • Stefano Fachin

    ()
    (University of Rome "La Sapienza")

Abstract

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 coefficients at an unknown date.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.accessecon.com/Pubs/EB/2009/Volume29/EB-09-V29-I4-P312.pdf
Download Restriction: no

Bibliographic Info

Article provided by AccessEcon in its journal Economics Bulletin.

Volume (Year): 29 (2009)
Issue (Month): 4 ()
Pages: 3222-3232

as in new window
Handle: RePEc:ebl:ecbull:eb-09-00560

Contact details of provider:

Related research

Keywords: Panel Cointegration; Stationary Bootstrap; Commmon Factors.;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Westerlund, Joakim & Edgerton, David L., 2007. "A panel bootstrap cointegration test," Economics Letters, Elsevier, Elsevier, vol. 97(3), pages 185-190, December.
  2. Jushan Bai & Serena Ng, 2001. "A Panic Attack on Unit Roots and Cointegration," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 469, The Johns Hopkins University,Department of Economics.
  3. Parker, Cameron & Paparoditis, Efstathios & Politis, Dimitris N., 2006. "Unit root testing via the stationary bootstrap," Journal of Econometrics, Elsevier, Elsevier, vol. 133(2), pages 601-638, August.
  4. Stefano Fachin, 2005. "Long-Run Trends in Internal Migrations in Italy: a Study in Panel Cointegration with Dependent Units," Econometrics, EconWPA 0507002, EconWPA.
  5. Paul Evans & Xiaojun Wang, 2005. "A Tale of Two Effects," Working Papers, University of Hawaii at Manoa, Department of Economics 200506, University of Hawaii at Manoa, Department of Economics.
  6. Peter Pedroni, 1999. "Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors," Department of Economics Working Papers, Department of Economics, Williams College 2000-02, Department of Economics, Williams College.
  7. Carl Bonham, 1991. "Correct Cointegration Tests of the Long Run Relationship Between Nominal Interest and Inflation," Working Papers, University of Hawaii at Manoa, Department of Economics 199104, University of Hawaii at Manoa, Department of Economics.
  8. Chang, Yoosoon & Park, Joon & Song, Kevin, 2002. "Bootstrapping Cointegrating Regressions," Working Papers, Rice University, Department of Economics 2002-04, Rice University, Department of Economics.
  9. Pedroni, Peter, 2004. "Panel Cointegration: Asymptotic And Finite Sample Properties Of Pooled Time Series Tests With An Application To The Ppp Hypothesis," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 20(03), pages 597-625, June.
  10. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, Econometric Society, vol. 55(2), pages 251-76, March.
  11. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
  12. Kao, Chihwa, 1999. "Spurious regression and residual-based tests for cointegration in panel data," Journal of Econometrics, Elsevier, Elsevier, vol. 90(1), pages 1-44, May.
  13. Efstathios Paparoditis & Dimitris N. Politis, 2003. "Residual-Based Block Bootstrap for Unit Root Testing," Econometrica, Econometric Society, Econometric Society, vol. 71(3), pages 813-855, 05.
  14. Frederic S. Mishkin, 1991. "Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates," NBER Working Papers 3632, National Bureau of Economic Research, Inc.
  15. Banerjee, Anindya & Carrion-i-Silvestre, Josep Lluís, 2006. "Cointegration in panel data with breaks and cross-section dependence," Working Paper Series, European Central Bank 0591, European Central Bank.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Syed Abul Basher & Elsayed Mousa Elsamadisy, 2012. "Country heterogeneity and long-run determinants of inflation in the Gulf Arab states," OPEC Energy Review, Organization of the Petroleum Exporting Countries, Organization of the Petroleum Exporting Countries, vol. 36(2), pages 170-203, 06.
  2. Gabriel Bruneau & Kevin Moran, 2012. "Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries," CIRANO Working Papers, CIRANO 2012s-19, CIRANO.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ebl:ecbull:eb-09-00560. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (John P. Conley).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.