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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.
Please use this url to cite or link to this publication:
author
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
2007-12-19 11:10:20
date last changed
2017-11-19 03:27:37
@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},
  keyword      = {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},
  volume       = {97},
  year         = {2007},
}