A sieve bootstrap range test for poolability in dependent cointegrated panels

Francesca Di Iorio and Stefano Fachin

No 2011/2, DSS Empirical Economics and Econometrics Working Papers Series from Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome

Abstract: We develop a sieve bootstrap range test for poolability of cointegrating regressions in dependent panels and evaluate by simulation its performances. Although slightly undersized the test has good power even when only a single unit of the panel is heterogenous.

Keywords: Poolability; Panel cointegration; sieve bootstrap. (search for similar items in EconPapers)
JEL-codes: C15 C23 E2 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2011-07
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sas:wpaper:20112

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