Sieve bootstrap for nonstationary panel factor models
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.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.unibg.it/struttura/en_struttura.asp?cerca=en_dige_intro
More information through EDIRC
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.