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A panel bootstrap cointegration test

Westerlund, Joakim LU and Edgerton, David LU (2007) In Economics Letters 97(3). p.185-190
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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author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
sieve bootstrap, panel cointegration test, cross-sectional dependence
in
Economics Letters
volume
97
issue
3
pages
185 - 190
publisher
Elsevier
external identifiers
  • wos:000250189800001
  • scopus:34548700606
ISSN
0165-1765
DOI
10.1016/j.econlet.2007.03.003
language
English
LU publication?
yes
id
4f7d304e-abaf-41ff-861f-bf7d8a88fba2 (old id 655374)
date added to LUP
2016-04-01 11:45:04
date last changed
2025-10-14 09:44:26
@article{4f7d304e-abaf-41ff-861f-bf7d8a88fba2,
  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.}},
  author       = {{Westerlund, Joakim and Edgerton, David}},
  issn         = {{0165-1765}},
  keywords     = {{sieve bootstrap; panel cointegration test; cross-sectional dependence}},
  language     = {{eng}},
  number       = {{3}},
  pages        = {{185--190}},
  publisher    = {{Elsevier}},
  series       = {{Economics Letters}},
  title        = {{A panel bootstrap cointegration test}},
  url          = {{http://dx.doi.org/10.1016/j.econlet.2007.03.003}},
  doi          = {{10.1016/j.econlet.2007.03.003}},
  volume       = {{97}},
  year         = {{2007}},
}