Abstract
Stationary bootstrapping is applied to panel cointegration tests which are based on the ordinary least-squares estimator and the seemingly unrelated regression (SUR) estimator of the residual unit root. Large sample validity of stationary bootstrapping is established. A finite sample experiment reveals that size performances of the bootstrap tests are much less sensitive to cross-sectional correlation than those of existing tests and a test based on the SUR estimator has substantially better power than existing tests.
| Original language | English |
|---|---|
| Pages (from-to) | 209-223 |
| Number of pages | 15 |
| Journal | Statistics |
| Volume | 49 |
| Issue number | 1 |
| DOIs | |
| State | Published - 2 Jan 2015 |
Bibliographical note
Funding Information:The author is very grateful for an associate editor and a referee whose comments improved the paper considerably. This study was supported by Basic Research Program (2012-001361) and Science Research Center program (2011-0030811) through the National Research Foundation of Korea (NRF) funded by the Ministry of Education Science and Technology.
Publisher Copyright:
© 2014, © 2014 Taylor & Francis.
Keywords
- cointegration test
- cross-sectional dependence
- panel data
- seemingly unrelated regression estimator
- stationary bootstrapping