Add to ORKGWe address the issue of panel cointegration testing in dependent panels, showing by simulations that tests based on the stationary bootstrap deliver good size and power performances even with small time and cross-section sample sizes and allowing for a break at a known date. They can thus be an empirically important alternative to asymptotic methods based on the estimation of common factors. Potential extensions include test for cointegration allowing for a break in the cointegrating coe¢ cients at an unknown date
Testing for cointegration in dependent panels via residual-based bootstrap method
Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel un...
This paper proposes a bootstrap test for the null hypothesis of cointegration in panel data. The tes...
We address the issue of panel cointegration testing in dependent panels, showing by simulations that...
We address the issue of panel cointegration testing in dependent panels, showing by simulations that...
In this paper we propose panel cointegration tests allowing for breaks and cross-section dependence ...
Stability tests for cointegrating coefficients are known to have very low power with small to medium...
The paper proposes statistics to test the null hypothesis of no cointegration in panel data when com...
In this paper we propose panel cointegration tests allowing for breaks and cross-section dependence ...
Panel unit-root and no-cointegration tests that rely on cross-sectional independence of the panel un...
We address the issue of estimation and inference in dependent nonstationary panels of small cross-se...
Stability tests for cointegrating coe±cients are known to have very low power with small to medium ...
Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel un...
Testing for cointegration in dependent panels via residual-based bootstrap method
Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel un...
This paper proposes a bootstrap test for the null hypothesis of cointegration in panel data. The tes...
We address the issue of panel cointegration testing in dependent panels, showing by simulations that...
We address the issue of panel cointegration testing in dependent panels, showing by simulations that...
In this paper we propose panel cointegration tests allowing for breaks and cross-section dependence ...
Stability tests for cointegrating coefficients are known to have very low power with small to medium...
The paper proposes statistics to test the null hypothesis of no cointegration in panel data when com...
In this paper we propose panel cointegration tests allowing for breaks and cross-section dependence ...
Panel unit-root and no-cointegration tests that rely on cross-sectional independence of the panel un...
We address the issue of estimation and inference in dependent nonstationary panels of small cross-se...
Stability tests for cointegrating coe±cients are known to have very low power with small to medium ...
Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel un...
Testing for cointegration in dependent panels via residual-based bootstrap method
Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel un...
This paper proposes a bootstrap test for the null hypothesis of cointegration in panel data. The tes...