Testing for cointegration in dependent panels via residual-based bootstrap methods

Francesca Di Iorio and Stefano Fachin ()

MPRA Paper from University Library of Munich, Germany

Abstract: We address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an empirically important alternative to asymptotic methods based on the estimation of common factors. Potential extensions include test for cointegration allowing for a break in the cointegrating coe¢ cients at an unknown date.

Keywords: Panel Cointegration; Stationary Bootstrap; Wild Bootstrap; breaks. (search for similar items in EconPapers)
JEL-codes: C23 C12 C15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2007-05-09, Revised 2008-12-11
View list of references View citations in EconPapers

Downloads: (external link)
http://mpra.ub.uni-muenchen.de/3139/ orginal version
http://mpra.ub.uni-muenchen.de/12076/ revised version

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:3139

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany
Address: Schackstr. 4, D-80539 Munich, Germany
Contact information at EDIRC.
Series data maintained by Ekkehart Schlicht ().