IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Sieve bootstrap for nonstationary panel factor models

Listed author(s):
  • Lorenzo Trapani


Registered author(s):

    This paper considers bootstrapping nonstationary panel factor mod- els when possible time dependence is present in the factors dynamics. The analysis does not assume any speci.c DGP, and a sieve bootstrap algorithm is proposed to approximate the autocorrelation structure of the processes involved in the model. The conditions under which sieve bootstrap yields consistent estimators and test statistics are explored, and a selection rule for the order of the approximation of the AR dy- namics is derived. Two main results are shown. First, an invariance principle for the partial sums of the bootstrap samples of the .rst di¤erences of the estimated factors is shown to hold for large T and .nite or large n. Secondly, it is proved that bootstrap estimates and test statistics are consistent only for (n; T) ! 1, whilst the .nite n case results in inconsistent bootstrap. Sieve bootstrap is shown to be consistent for the .xed n case only in presence of no serial correlation.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Department of Economics and Technology Management, University of Bergamo in its series Working Papers with number 0812.

    in new window

    Date of creation: 2008
    Handle: RePEc:brh:wpaper:0812
    Contact details of provider: Postal:
    viale Marconi 5, 24044 Dalmine

    Phone: 0352052341
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:brh:wpaper:0812. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (University of Bergamo Library)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.