Bootstrapping and hypothesis testing in non-stationary panel data
This paper uses the wild bootstrap to compute empirically relevant critical values for the test statistics proposed by Emerson and Kao (2001). Monte Carlo simulations were then performed to evaluate the size and power properties of the bootstrapped tests.
Volume (Year): 12 (2005)
Issue (Month): 5 ()
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- Russell Davidson & Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," Working Papers 1000, Queen's University, Department of Economics.
- Emmanuel Flachaire, 2001. "The Wild Bootstrap, Tamed at Last," STICERD - Distributional Analysis Research Programme Papers 58, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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