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A bootstrap procedure for panel data sets with many cross-sectional units

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  • G. Kapetanios
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    Abstract

    This paper considers the issue of bootstrap resampling in panel data sets. The availability of data sets with large temporal and cross-sectional dimensions suggests the possibility of new resampling schemes. We suggest one possibility which has not been widely explored in the literature. It amounts to constructing bootstrap samples by resampling whole cross-sectional units with replacement. In cases where the data do not exhibit cross-sectional dependence but exhibit temporal dependence, such a resampling scheme is of great interest as it allows the application of i.i.d. bootstrap resampling rather than block bootstrap resampling. It is well known that the former enables superior approximation to distributions of statistics compared to the latter. We prove that the bootstrap based on cross-sectional resampling provides asymptotic refinements. A Monte Carlo study illustrates the superior properties of the new resampling scheme compared to the block bootstrap. Copyright � 2008 The Author. Journal compilation � Royal Economic Society 2008

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    Bibliographic Info

    Article provided by Royal Economic Society in its journal Econometrics Journal.

    Volume (Year): 11 (2008)
    Issue (Month): 2 (07)
    Pages: 377-395

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    Handle: RePEc:ect:emjrnl:v:11:y:2008:i:2:p:377-395

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    Cited by:
    1. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2008. "Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests," Research Memorandum 048, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    2. Geert Dhaene & Koen Jochmans, 2010. "Split-panel jackknife estimation of fixed-effect models," Sciences Po publications info:hdl:2441/eu4vqp9ompq, Sciences Po.
    3. Galvao, Antonio F. & Montes-Rojas, Gabriel & Sosa-Escudero, Walter & Wang, Liang, 2013. "Tests for skewness and kurtosis in the one-way error component model," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 35-52.
    4. repec:spo:wpecon:info:hdl:2441/eu4vqp9ompqllr09ij4j0h0h1 is not listed on IDEAS
    5. Günster, N.K. & Kole, H.J.W.G. & Jacobsen, B., 2009. "Riding Bubbles," ERIM Report Series Research in Management ERS-2009-058-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    6. Trapani, Lorenzo, 2013. "On bootstrapping panel factor series," Journal of Econometrics, Elsevier, vol. 172(1), pages 127-141.
    7. G. Everaert, 2012. "A Panel Analysis of the Fisher Effect with an Unobserved I(1) World Real Interest Rate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 12/782, Ghent University, Faculty of Economics and Business Administration.

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