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Sieve bootstrap t-tests on long-run average parameters

Listed author(s):
  • Fuertes, Ana-Maria

Panel estimators can provide consistent measures of a long-run average parameter even if the individual regressions are spurious. However, the t-test on this parameter is fraught with problems because the limit distribution of the test statistic is non-standard and rather complicated, particularly in panels with mixed (non-)stationary errors. A sieve bootstrap framework is suggested to approximate the distribution of the t-statistic. An extensive Monte Carlo study demonstrates that the bootstrap is quite useful in this context.

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File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(07)00449-5
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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 52 (2008)
Issue (Month): 7 (March)
Pages: 3354-3370

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Handle: RePEc:eee:csdana:v:52:y:2008:i:7:p:3354-3370
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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