Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/18012
Authors: 
Di Iorio, Francesca
Fachin, Stefano
Year of Publication: 
2007
Citation: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [Volume:] 1 [Issue:] 2007-14 [Pages:] 1-23 [DOI/URN:] doi:10.5018/economics-ejournal.ja.2007-14
Abstract: 
Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap. Simulation evidence shows that the proposed panel tests improve considerably on asymptotic tests applied to individual series. As an empirical illustration we examined investment and saving for a panel of European countries over the 1960-2002 period. While the individual stability tests, contrary to expectations and graphical evidence, in almost all cases do not reject the null of stability, the bootstrap panel tests lead to the more plausible conclusion that the long-run relationship between these two variables is likely to have undergone a break.
Subjects: 
cointegration
stationary bootstrap
parameter stability tests
FM-OLS
JEL: 
C15
C23
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
Document Type: 
Article

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