A panel bootstrap cointegration test

DOI10.1016/J.ECONLET.2007.03.003zbMath1255.62389OpenAlexW2011578911MaRDI QIDQ1934171

Joakim Westerlund, David L. Edgerton

Publication date: 28 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2007.03.003

zbMATH Keywords

sieve bootstrapcross-sectional dependencepanel cointegration test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (4)

Currency misalignments in the BRIICS countries: fixed vs. floating exchange rates ⋮ INSURANCE AND REAL OUTPUT: THE KEY ROLE OF BANKING ACTIVITIES ⋮ FDI inflows-economic globalization nexus in ASEAN countries: the panel bootstrap causality test based on wavelet decomposition ⋮ Stationary bootstrapping for panel cointegration tests under cross-sectional dependence

Cites Work

• Reducing the size distortions of the panel LM test for cointegration
• Bootstrap unit root tests in panels with cross-sectional dependency
• A residual-based test of the null of cointegration in panel data
• A Sieve Bootstrap For The Test Of A Unit Root
• Bootstrap Unit Root Tests
• On bootstrap inference in cointegrating regressions
• Unnamed Item

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