A simple sieve bootstrap range test for poolability in dependent cointegrated panels
We develop a sieve bootstrap range test for poolability of cointegrating regressions in dependent panels and evaluate by simulation its performances. The test seems to have good size and power properties even with small cross-sections, moderate time samples, and low heterogeneity.
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- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005.
"Dynamic Seemingly Unrelated Cointegrating Regressions,"
Review of Economic Studies,
Oxford University Press, vol. 72(3), pages 797-820.
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," NBER Technical Working Papers 0292, National Bureau of Economic Research, Inc.
- Mark, Nelson & Ogaki, Masao & Sul, Donggyu, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 144, Department of Economics, The University of Auckland.
- Masao Ogaki & Nelson Mark & Donggyu Sul, 2004. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 04-02, Ohio State University, Department of Economics.
- Joakim Westerlund & Wolfgang Hess, 2011. "A new poolability test for cointegrated panels," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(1), pages 56-88, January/F.
- Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 133(2), pages 703-739, August.
- Chang, Yoosoon & Park, Joon & Song, Kevin, 2002. "Bootstrapping Cointegrating Regressions," Working Papers 2002-04, Rice University, Department of Economics.
- Peter Hall & Hugh Miller, 2010. "Bootstrap confidence intervals and hypothesis tests for extrema of parameters," Biometrika, Biometrika Trust, vol. 97(4), pages 881-892. Full references (including those not matched with items on IDEAS)