期刊
ECONOMICS LETTERS
卷 97, 期 3, 页码 185-190出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.econlet.2007.03.003
关键词
panel cointegration test; cross-sectional dependence; sieve bootstrap
类别
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. (c) 2007 Elsevier B.V. All rights reserved.
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