A panel bootstrap cointegration test

Westerlund, Joakim and Edgerton, David L. 2007, A panel bootstrap cointegration test, Economics letters, vol. 97, no. 3, pp. 185-190, doi: 10.1016/j.econlet.2007.03.003.

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Title A panel bootstrap cointegration test
Author(s) Westerlund, JoakimORCID iD for Westerlund, Joakim orcid.org/0000-0002-8030-5706
Edgerton, David L.
Journal name Economics letters
Volume number 97
Issue number 3
Start page 185
End page 190
Total pages 6
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2007-12
ISSN 0165-1765
Keyword(s) Cross-sectional dependence
Panel cointegration test
Sieve bootstrap
Social Sciences
Business & Economics
Summary 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. © 2007 Elsevier B.V. All rights reserved.
Language eng
DOI 10.1016/j.econlet.2007.03.003
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2007, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30078221

Document type: Journal Article
Collections: Faculty of Business and Law
Deakin Business School
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