A simple sieve bootstrap range test for poolability in dependent cointegrated panels

We develop a sieve bootstrap range test for poolability of cointegrating regressions in dependent panels and evaluate by simulation its performances. The test seems to have good size and power properties even with small cross-sections, moderate time samples, and low heterogeneity.

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Year of publication:	2012
Authors:	Di Iorio, Francesca ; Fachin, Stefano
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 2, p. 154-156
Publisher:	Elsevier
Subject:	Poolability \| Panel cointegration \| Sieve bootstrap \| Range

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Type of publication:	Article
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data ; C33 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011041703