We develop asieve 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. © 2012 Elsevier B.V.
A simple sieve bootstrap range test for poolability in dependent cointegrated panels / DI IORIO, Francesca; Fachin, S.. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 116:2(2012), pp. 154-156. [10.1016/j.econlet.2012.02.025]
A simple sieve bootstrap range test for poolability in dependent cointegrated panels
DI IORIO, FRANCESCA;
2012
Abstract
We develop asieve 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. © 2012 Elsevier B.V.File in questo prodotto:
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