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Testing for Breaks in Cointegrated Panels - with an Application to the Feldstein-Horioka Puzzle

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dc.creator Di Iorio, Francesca
dc.creator Fachin, Stefano
dc.date 2007
dc.date.accessioned 2013-10-16T06:57:36Z
dc.date.available 2013-10-16T06:57:36Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/17962
dc.identifier ppn:55840748X
dc.identifier RePEc:zbw:ifwedp:6166
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/17962
dc.description 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 14 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.
dc.language eng
dc.publisher Kiel Institute for the World Economy (IfW) Kiel
dc.relation Economics Discussion Papers / Institut für Weltwirtschaft 2007-39
dc.rights http://creativecommons.org/licenses/by-nc/2.0/de/deed.en
dc.subject C23
dc.subject C15
dc.subject ddc:330
dc.subject Panel cointegration
dc.subject stationary bootstrap
dc.subject parameter stability tests
dc.subject FM-OLS
dc.title Testing for Breaks in Cointegrated Panels - with an Application to the Feldstein-Horioka Puzzle
dc.type doc-type:workingPaper


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