Testing for cointegration in dependent panels via residual-based bootstrap methods

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Testing for cointegration in dependent panels via residual-based bootstrap methods

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Di Iorio, Francesca
Fachin, Stefano

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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 coe¢ cients at an unknown date.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 3139.

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Date of creation: 09 May 2007
Date of revision: 11 Dec 2008
Handle: RePEc:pra:mprapa:3139

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Find related papers by JEL classification:
C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-05-12 (All new papers)
NEP-ECM-2007-05-12 (Econometrics)
NEP-ETS-2007-05-12 (Econometric Time Series)

References listed on IDEAS
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Full references

Cited by:
(explanations, 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.)

Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2008. "Cross-Sectional Dependence Robust Block Bootstrap Panel Unit Root Tests," Research Memoranda 048, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]

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