A panel bootstrap cointegration test

被引：608

作者：

Westerlund, Joakim ^{[1
]}

Edgerton, David L. ^{[1
]}

机构：

[1] Lund Univ, Dept Econ, S-22007 Lund, Sweden

来源：

ECONOMICS LETTERS | 2007年 / 97卷 / 03期

关键词：

panel cointegration test; cross-sectional dependence; sieve bootstrap;

D O I：

10.1016/j.econlet.2007.03.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：185 / 190

页数：6

共 5 条

[1] Bootstrap unit root tests in panels with cross-sectional dependency [J].