Publikationer
A panel bootstrap cointegration test
Avdelning/ar:
Publiceringsår: 2007
Språk: Engelska
Sidor: 185-190
Publikation/Tidskrift/Serie: Economics Letters
Volym: 97
Nummer: 3
Dokumenttyp: Artikel
Förlag: Elsevier Science
Sammanfattning
This paper proposes a bootstrap test for the null hypothesis of cointegration in panel data. The test is general enough to allow for dependence both within and between the cross-sectional units, and is shown to work well in small samples.
Disputation
Nyckelord
- Social Sciences
- sieve bootstrap
- panel cointegration test
- cross-sectional dependence
Övrigt
Published
Yes
- ISSN: 0165-1765

