Panel unit-root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has, for example, been shown by Banerjee, Marcellino and Osbat ["Econometrics Journal" (2004), Vol. 7, pp. 322-340;...

Panel unit root and no-cointegration tests that rely on cross-sectional independence of the panel unit experience severe size distortions when this assumption is violated, as has e.g. been shown by Banerjee, Marcellino and Osbat (2004, 2005) via Monte Carlo simulations. Several studies have...

In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error correction model. The multivariate sieve bootstrap is used to deal with dependence in the series. We show that the introduced bootstrap test is asymptotically valid. We also...

In this paper we consider the issue of unit root testing in cross-sectionally dependent panels. We consider panels that may be characterized by various forms of cross-sectional dependence including (but not exclusive to) the popular common factor framework. We consider block bootstrap versions...

In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error correction model. The multivariate sieve bootstrap is used to deal with dependence in the series. We show that the introduced bootstrap test is asymptotically valid.We also...

In this article, we study and compare the properties of several bootstrap unit-root tests recently proposed in the literature. The tests are Dickey-Fuller (DF) or Augmented DF, based either on residuals from an autoregression and the use of the block bootstrap or on first-differenced data and...

In this paper we study and compare the properties of several bootstrap unit root tests recently proposed in the literature. The tests are Dickey-Fuller or Augmented DF-tests, either based on residuals from an autoregression and the use of the block bootstrap (Paparoditis & Politis, 2003) or on...

In this paper we consider the issue of unit root testing in cross-sectionally dependent panels. We consider panels that may be characterized by various forms of cross-sectionaldependence including (but not exclusive to) the popular common factor framework. Weconsider block bootstrap versions of...