| Main Title |
Bootstrap sequential tests to determine the stationary units in a panel / |
| Author |
Smeekes, Stephan.
|
| Publisher |
METEOR, Maastricht research school of Economics of Technology and Organizations, |
| Year Published |
2011 |
| OCLC Number |
796088339 |
| Subjects |
Panel analysis ;
Sequential analysis ;
Bootstrap (Statistics)
|
| Internet Access |
|
| Holdings |
| Library |
Call Number |
Additional Info |
Location |
Last
Modified |
Checkout
Status |
| ELBM |
HA31.2.S64 2011 |
|
AWBERC Library/Cincinnati,OH |
06/25/2012 |
|
| Collation |
36 p. ; 28 cm. |
| Notes |
"RM/11/003." Includes bibliographical references (p. 25-27). |
| Contents Notes |
We propose an approach to investigate the stationarity properties of individual units in a panel based on testing user-defined increasing proportions of hypothesized stationary units sequentially. Asymptotically valid critical values are obtained using the block bootstrap. This sequential approach has an advantage over multiple testing approaches, in particular if N is large and T is small, as it can exploit the cross-sectional dimension, which the multiple testing approaches cannot do effectively. A simulation study is conducted to analyze the relative performance of the approach in comparison with multiple testing approaches. The method is also illustrated by two empirical applications, in testing for unit roots in real exchange rates and log earnings data of households. The simulation study and applications demonstrate the usefulness of our method, in particular in panels with large N and small T. |
| Place Published |
Maastricht |
| Access Notes |
Also available online. |
| PUB Date Free Form |
2011 |
| BIB Level |
m |
| Cataloging Source |
OCLC/T |
| OCLC Time Stamp |
20120622141010 |
| Language |
eng |
| Origin |
OCLC |
| Type |
CAT |
| OCLC Rec Leader |
01809nam 2200277Ka 45020 |
