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Cointegration testing in dependent panels with breaks

Francesca Di Iorio and Stefano Fachin

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we propose panel cointegration tests allowing for breaks and cross-section dependence based on the Continuos-Path Block bootstrap. Simulation evidence shows that the proposed panel tests have satisfactory size and power properties, hence improving considerably on asymptotic tests applied to individual series. As an empirical illustration we examine investment and saving for a panel of European countries over the 1960-2002 period, finding, contrary to the results of most individual tests, that the hypothesis of a long-run relationship with breaks is compatible with the data

Keywords: Panel cointegration; continuos-path block bootstrap; breaks; Feldstein-Horioka Puzzle (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Date: 2007-05-09
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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https://mpra.ub.uni-muenchen.de/3139/1/MPRA_paper_3139.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/12076/2/MPRA_paper_12076.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/26815/1/MPRA_paper_26815.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/26969/1/MPRA_paper_26969.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/26781/1/MPRA_paper_26781.pdf revised version (application/pdf)

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