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

DOI10.1016/J.ECONLET.2012.02.025zbMath1255.62348OpenAlexW1999534121MaRDI QIDQ1925704

Francesca Di Iorio, Stefano Fachin

Publication date: 18 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2012.02.025

zbMATH Keywords

rangepanel cointegrationsieve bootstrap

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Cites Work

• Bootstrapping cointegrating regressions
• Bootstrap confidence intervals and hypothesis tests for extrema of parameters
• Efficient Estimation of the Seemingly Unrelated Regression Cointegration Model and Testing for Purchasing Power Parity
• Dynamic Seemingly Unrelated Cointegrating Regressions

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