Autor(en): | Hanck, Christoph |
Titel: | Cross-sectional correlation robust tests for panel cointegration |
Sprache (ISO): | en |
Zusammenfassung: | We use meta analytic combination procedures to develop new tests for panel cointegration. The main idea consists in combining p-values from time series cointegration tests on the different units of the panel. The tests are robust to heterogeneity as well as to cross-sectional dependence between the different units of the panel. To achieve the latter, we employ a sieve bootstrap procedure with joint resampling of the residuals of the different units. A simulation study shows that the suggested bootstrap tests can have substantially smaller error-in-rejection probabilities than tests ignoring the presence of cross-sectional dependence while preserving high power. We apply the tests to a panel of Post-Bretton Woods data to test for weak Purchasing Power Parity (PPP). |
Schlagwörter: | Cross-sectional dependence Panel cointegration tests Purchasing Power Parity (PPP) Sieve bootstrap |
URI: | http://hdl.handle.net/2003/23129 http://dx.doi.org/10.17877/DE290R-859 |
Erscheinungsdatum: | 2006-12-15T11:28:18Z |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 475 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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tr44-06.pdf | DNB | 252.3 kB | Adobe PDF | Öffnen/Anzeigen |
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