Stationary bootstrapping for panel cointegration tests under cross-sectional dependence

DOI10.1080/02331888.2013.874426zbMath1367.62147OpenAlexW2077256899MaRDI QIDQ5263976

Dong Wan Shin

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2013.874426

zbMATH Keywords

panel datacross-sectional dependencestationary bootstrappingcointegration testseemingly unrelated regression estimator

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10)

Related Items (1)

Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels

Cites Work

• Cross-sectional dependence robust block bootstrap panel unit root tests
• A well-conditioned estimator for large-dimensional covariance matrices
• Unit root testing via the stationary bootstrap
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• The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study
• Testing for a unit root in time series regression
• Bootstrapping unit root tests for integrated processes
• Linear Regression Limit Theory for Nonstationary Panel Data
• PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data
• New Simple Tests for Panel Cointegration
• Bootstrapping Unit Root Tests for Autoregressive Time Series

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