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

Listed author(s):
  • Di Iorio, Francesca
  • Fachin, Stefano

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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File URL: http://www.sciencedirect.com/science/article/pii/S016517651200081X
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 116 (2012)
Issue (Month): 2 ()
Pages: 154-156

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Handle: RePEc:eee:ecolet:v:116:y:2012:i:2:p:154-156
DOI: 10.1016/j.econlet.2012.02.025
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. 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.
  2. 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.
  3. Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 133(2), pages 703-739, August.
  4. Peter Hall & Hugh Miller, 2010. "Bootstrap confidence intervals and hypothesis tests for extrema of parameters," Biometrika, Biometrika Trust, vol. 97(4), pages 881-892.
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