Cross-sectional correlation robust tests for panel cointegration
| dc.contributor.author | Hanck, Christoph | |
| dc.date.accessioned | 2006-12-15T11:28:18Z | |
| dc.date.available | 2006-12-15T11:28:18Z | |
| dc.date.issued | 2006-12-15T11:28:18Z | |
| dc.description.abstract | 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). | en |
| dc.format.extent | 258360 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | http://hdl.handle.net/2003/23129 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-859 | |
| dc.language.iso | en | |
| dc.subject | Cross-sectional dependence | en |
| dc.subject | Panel cointegration tests | en |
| dc.subject | Purchasing Power Parity (PPP) | en |
| dc.subject | Sieve bootstrap | en |
| dc.subject.ddc | 004 | |
| dc.title | Cross-sectional correlation robust tests for panel cointegration | en |
| dc.type | Text | de |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |