Title of article :
A panel bootstrap cointegration test
Author/Authors :
Joakim Westerlund، نويسنده , , David L. Edgerton، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Abstract :
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.
Keywords :
Panel cointegration test , Sieve bootstrap , Cross-sectional dependence
Journal title :
Economics Letters
Journal title :
Economics Letters