A panel bootstrap cointegration test

By Joakim Westerlund, David L. Edgerton. 2007

956 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6058e344ac4ec1dcc5a740260c1e7fa083d9aaa9

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Citations in the corpus

An Evaluation of the Tourism-Induced Environmental Kuznets Curve (T-EKC) Hypothesis: Evidence from G7 Countries (2020, methodology): “In this context, the authors performed the bootstrap panel cointegration test developed by Westerlund and Edgerton (2007) [33] and showed the results in Table 4.”
Investigating the impacts of energy consumption, real GDP, tourism and trade on CO2 emissions by accounting for cross-sectional dependence: A panel study of OECD countries (2017, methodology): “Note: The bootstrap test is based on Westerlund and Edgerton (2007) and run using 2000 replications.”
Geopolitical risk and tourism: Evidence from dynamic heterogeneous panel models (2020, methodology): “As shown in panel A, where tourism receipts serve as the measure of tourism demand, the bootstrap p value from the LM test statistic of the Westerlund and Edgerton (2007) test indicates the presence of cointegration.”
Energy Consumption, Economic Growth and CO2 Emissions in Middle East and North African Countries (2012, methodology): “a Test based on Westerlund and Edgerton (2007). M.”