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A panel bootstrap cointegration test

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

Övriga

Published
Yes
  • ISSN: 0165-1765

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