A panel bootstrap cointegration test
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/655374
- author
- Westerlund, Joakim LU and Edgerton, David LU
- organization
- publishing date
- 2007
- 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
- 2022-04-28 19:17:09
@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}}, }