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

Francesca Di Iorio and Stefano Fachin

Economics Letters, 2012, vol. 116, issue 2, 154-156

Abstract: 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.

Keywords: Poolability; Panel cointegration; Sieve bootstrap; Range (search for similar items in EconPapers)
JEL-codes: C15 C23 C33 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:2:p:154-156

DOI: 10.1016/j.econlet.2012.02.025

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