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A panel bootstrap cointegration test

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Author

Summary, in English

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.

Publishing year

2007

Language

English

Pages

185-190

Publication/Series

Economics Letters

Volume

97

Issue

3

Document type

Journal article

Publisher

Elsevier

Topic

  • Economics

Keywords

  • sieve bootstrap
  • panel cointegration test
  • cross-sectional dependence

Status

Published

ISBN/ISSN/Other

  • ISSN: 0165-1765