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A sieve bootstrap range test for poolability in dependent cointegrated panels

Author

Listed:
  • Francesca Di Iorio

    (Universita' di Napoli Federico II)

  • Stefano Fachin

    (Universita' di Roma "La Sapienza")

Abstract

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.

Suggested Citation

  • Francesca Di Iorio & Stefano Fachin, 2011. "A sieve bootstrap range test for poolability in dependent cointegrated panels," DSS Empirical Economics and Econometrics Working Papers Series 2011/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    • Handle: RePEc:sas:wpaper:20112
    as

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    File URL: http://www.dss.uniroma1.it/RePec/sas/wpaper/20112_Di_Iorio_Fachin.pdf
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    References listed on IDEAS

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    Cited by:

    1. Stephan Smeekes & Jean-Pierre Urbain, 2014. "On the Applicability of the Sieve Bootstrap in Time Series Panels," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 139-151, February.

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    More about this item

    Keywords

    Poolability; Panel cointegration; sieve bootstrap.;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

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