Stationary bootstrapping for panel cointegration tests under cross-sectional dependence |
| |
Authors: | Dong Wan Shin |
| |
Institution: | 1. Department of Statistics, Ewha University, Seo-Dae-Mun-Gu, Seoul, Republic of Koreashindw@ewha.ac.kr |
| |
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. |
| |
Keywords: | cointegration test cross-sectional dependence panel data seemingly unrelated regression estimator stationary bootstrapping |
|