A panel bootstrap cointegration test

Research output: Contribution to journalArticle

Abstract

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.

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Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics

Keywords

  • sieve bootstrap, panel cointegration test, cross-sectional dependence
Original languageEnglish
Pages (from-to)185-190
JournalEconomics Letters
Volume97
Issue number3
Publication statusPublished - 2007
Publication categoryResearch
Peer-reviewedYes