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A residual-based bootstrap test for panel cointegration

Author

Listed:
  • 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.

Suggested Citation

  • Francesca Di Iorio & Stefano Fachin, 2009. "A residual-based bootstrap test for panel cointegration," Economics Bulletin, AccessEcon, vol. 29(4), pages 3222-3232.
  • Handle: RePEc:ebl:ecbull:eb-09-00560
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    References listed on IDEAS

    as
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    Cited by:

    1. Gabriel Bruneau & Kevin Moran, 2017. "Exchange rate fluctuations and labour market adjustments in Canadian manufacturing industries," Canadian Journal of Economics, Canadian Economics Association, vol. 50(1), pages 72-93, February.
    2. 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, vol. 36(2), pages 170-203, June.
    3. Smeekes S. & Urbain J.R.Y.J., 2014. "A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing," Research Memorandum 008, Maastricht University, Graduate School of Business and Economics (GSBE).

    More about this item

    Keywords

    Panel Cointegration; Stationary Bootstrap; Commmon Factors.;

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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