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A simple sieve bootstrap range test for poolability in dependent cointegrated panels

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  • Di Iorio, Francesca
  • Fachin, Stefano

Abstract

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.

Suggested Citation

  • Di Iorio, Francesca & Fachin, Stefano, 2012. "A simple sieve bootstrap range test for poolability in dependent cointegrated panels," Economics Letters, Elsevier, vol. 116(2), pages 154-156.
    • Handle: RePEc:eee:ecolet:v:116:y:2012:i:2:p:154-156
    DOI: 10.1016/j.econlet.2012.02.025
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    References listed on IDEAS

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    1. Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005. "Dynamic Seemingly Unrelated Cointegrating Regressions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 797-820.
    2. Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 133(2), pages 703-739, August.
    3. Peter Hall & Hugh Miller, 2010. "Bootstrap confidence intervals and hypothesis tests for extrema of parameters," Biometrika, Biometrika Trust, vol. 97(4), pages 881-892.
    4. 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.
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    Cited by:

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    2. Serhan Cevik & Katerina Teksoz, 2014. "Deep Roots of Fiscal Behavior," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(2), pages 5-33, November.

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    More about this item

    Keywords

    Poolability; Panel cointegration; Sieve bootstrap; Range;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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