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dc.contributor.authorHanck, Christoph-
dc.date.accessioned2006-12-15T11:28:18Z-
dc.date.available2006-12-15T11:28:18Z-
dc.date.issued2006-12-15T11:28:18Z-
dc.identifier.urihttp://hdl.handle.net/2003/23129-
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-859-
dc.description.abstractWe 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).en
dc.format.extent258360 bytes-
dc.format.mimetypeapplication/pdf-
dc.language.isoen-
dc.subjectCross-sectional dependenceen
dc.subjectPanel cointegration testsen
dc.subjectPurchasing Power Parity (PPP)en
dc.subjectSieve bootstrapen
dc.subject.ddc004-
dc.titleCross-sectional correlation robust tests for panel cointegrationen
dc.typeTextde
dc.type.publicationtypereporten
dcterms.accessRightsopen access-
Appears in Collections:Sonderforschungsbereich (SFB) 475

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