References
- Pedroni P. Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bull Econ Stat. 1999;61:653–670. doi: 10.1111/1468-0084.61.s1.14
- Pedroni P. Panel cointegration asymptotic and finite sample properties of pooled time series tests with an application to the ppp hypothesis. Econom Theory. 2004;20:597–625. doi: 10.1017/S0266466604203073
- Larsson R, Lyhagen J, Lothgren M. Likelihood-based cointegration tests in heterogeneous panels. Econom J. 2001;4:109–142. doi: 10.1111/1368-423X.00059
- Breitung J. A parametric approach to the estimation of cointegration vectors in panel data. Econom Rev. 2005;24:151–173. doi: 10.1081/ETC-200067895
- Westerlund J. New simple tests for panel cointegration. Econom Rev. 2005;24:297–316. doi: 10.1080/07474930500243019
- Westerlund J, Edgerton DL. A panel bootstrap cointegration test. Econ Lett. 2007;97:185–190. doi: 10.1016/j.econlet.2007.03.003
- Wagner M, Hlouskova J. The performance of panel cointegration methods: results from a large scale simulation study. Econom Rev. 2010;29:182–223. doi: 10.1080/07474930903382182
- Politis DN, Romano JP. The stationary bootstrap. J Am Stat Assoc. 1994;89:1303–1313. doi: 10.1080/01621459.1994.10476870
- Swensen AR. Bootstrapping unit root tests for integrated processes. J Time Ser Anal. 2003;24:99–126. doi: 10.1111/1467-9892.00295
- Paparoditis E, Politis D. Bootstrapping unit root tests for autoregressive time series. J Am Stat Assoc. 2005;100:545–553. doi: 10.1198/016214504000001998
- Parker C, Paparoditis E, Politis DN. Unit root testing via the stationary bootstrap. J Econom. 2006;133: 601–638. doi: 10.1016/j.jeconom.2005.06.008
- Shin DW, Hwang EJ. Stationary bootstrapping for cointegrating regressions. Stat Probab Lett. 2013;83: 474–480. doi: 10.1016/j.spl.2012.10.007
- Palm FC, Smeekes S, Urbain J. Cross-sectional dependence robust block bootstrap panel unit root tests. J Econom. 2011;163:85–104. doi: 10.1016/j.jeconom.2010.11.010
- Phillips PCB, Perron, P. Testing for a unit root in time series regression. Biometrika. 1988;75:335–346. doi: 10.1093/biomet/75.2.335
- Trapani L. On bootstrapping panel factor series. J Econom. 2013;172:127–141. doi: 10.1016/j.jeconom.2012.09.001
- Ledoita O, Wolf M. A well-conditioned estimator for large-dimensional covariance matrices. J Multivariate Anal. 2004;88:365–411. doi: 10.1016/S0047-259X(03)00096-4
- Park JY, Phillips, PCB. Statistical inference in regressions with integrated processes: Part 2. Econometric Theory. 1989;5:95–131. doi: 10.1017/S0266466600012287
- Phillips PCB, Moon HR. Linear regression limit theory for nonstationary panel data. Econometrica. 1999;67: 1057–1111. doi: 10.1111/1468-0262.00070
- Im KS, Pesaran MH, Shin Y. Testing for unit roots in heterogeneous panels. J Econometrics. 2003;115:53–74. doi: 10.1016/S0304-4076(03)00092-7
- Billingsley P. Convergence of probability measures. 2nd ed. New York: Wiley; 1999.